 Usage:  out0 = VaRauxdiagcat(a,b,sig,real,g)  

 

 Input:



  a                      scalar, lower limit for the interval. 

                         

  b                      scalar, upper limit for the interval. 

                         

  sig                    nx1 vector of predicted standard deviations 

                         (assume normality) 

                         

  real                   nx1 vector of realizations. 

                         

  g                      scalar, number of grid points. 

                         

 Output:



  out0                   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) 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

