Partial Moment Two Deviation Normal Independent (pm2_ni_dev)
Contents
Partial Moment Two Deviation Normal Independent. Expected squared access of ((Loss ) - (Average Loss )) over some fixed threshold for the Loss with independent normally distributed random coefficients.
Syntax
pm2_ni_dev(w,matrix_mn,matrix_vr) |
short call |
pm2_ni_dev_name(w,matrix_mn,matrix_vr) |
call with optional name |
Parameters
matrix_mn is a PSG matrix of mean values:
where the header row contains names of variables. The second row contains numerical data.
matrix_vr is a PSG matrix of variance values:
where the header row contains names of variables. The second row contains numerical data.
 | is a threshold value. |
Mathematical Definition
Partial Moment Two Deviation Normal Independent function is calculated as follows:
where
is Partial Moment Two Normal Independent function,
,
is Loss function (See section Loss and Gain Functions),
,
is the standard normal distribution,
is probability density function of the standard normal distribution.
is an argument of function.
Remarks
matrix_mn is not used in the calculation of Partial Moment Two Deviation Normal Independent function.
Example
See also
Partial Moment Group, Partial Moment Two Deviation for Gain Normal Independent.