Probability of Exceedance Deviation Normal Dependent (pr_nd_dev)
Contents
Probability of Exceedance Deviation Normal Dependent. Probability that Linear Loss Deviation exceeds some fixed threshold for the Loss with mutually dependent normally distributed random coefficients
Syntax
pr_nd_dev(w,matrix_mn,matrix_cov) |
short call; |
pr_nd_dev_name(w,matrix_mn,matrix_cov) |
call with optional name. |
Parameters
is a threshold value.
matrix_mn is a PSG matrix of mean values of coefficients of Loss function:
where the header row contains names of variables. The second row contains numerical data.
matrix_cov is a PSG matrix of covariance values of coefficients of Loss function:
where the header row contains names of variables. Other rows contain numerical data.
Mathematical Definition
The Probability of Exceedance Deviation Normal Dependent is calculated as follows:
where
is standard Deviation of Loss Function
is the standard normal distribution;
is an argument of function.
Example
See also
Probability Group, Probability of Exceedance Deviation for Gain Normal Dependent.