Partial Moment Two Normal Dependent (pm2_pen_nd)
Contents
Partial Moment Two Normal Dependent. Expected squared Linear Loss in access of of some fixed threshold for the Loss with mutually dependent normally distributed random coefficients.
Syntax
pm2_pen_nd(w,matrix_mn,matrix_cov) |
short call |
pm2_pen_nd_name(w,matrix_mn,matrix_cov) |
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_cov is a PSG matrix of covariance values:
where the header row contains names of variables. Other rows contain numerical data.
 | is a threshold value. |
Mathematical Definition
Partial Moment Two Normal Dependent function is calculated as follows:
,
where
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution.
is an argument of function.
Example
See also
Partial Moment Group, Partial Moment Two for Gain Normal Dependent.