Library: | VaR |
See also: | VaRest VaRdiagplot VaRgrdiag VaRtimeplot |
Quantlet: | VaRdiagtable | |
Description: | produces table containing frequencies of predictive probabilities of the observations falling into specified intervals. |
Usage: | table = VaRdiagtable(int,sig,real,g) | |
Input: | ||
int | mx2 matrix containing the intervals (in the rows). | |
sig | nx1 vector of predicted standard deviations (assume normality) | |
real | nx1 vector of realizations. | |
g | scalar, number of grid points. | |
Output: | ||
table | g x 3 matrix, the "contingency table", 1st column contains relative frequencies of predicted probabilities. 2nd and 3rd column contain relative frequencies of predicted probabilities conditioned on the result (whether the observations fall inside or outside the specified interval) |
library("VaR") x=read("kupfer") ; time series x=x[1:1001] y=diff(log(x)) ; returns sig=VaRest(y)[,2]/qfn(0.99) y=y[251:1000] VaRdiagtable((-0.01~0.01),sig,y,10)
[ 1,] 0 0 0 [ 2,] 0 0 0 [ 3,] 0 0 0 [ 4,] 15 8 7 [ 5,] 90 41 49 [ 6,] 520 317 203 [ 7,] 125 97 28 [ 8,] 0 0 0 [ 9,] 0 0 0 [10,] 0 0 0
Library: | VaR |
See also: | VaRest VaRdiagplot VaRgrdiag VaRtimeplot |