Probability of Exceedance Deviation for Gain Normal Dependent (pr_nd_dev_g)
Contents
Probability of Exceedance Deviation for Gain Normal Dependent. Probability that Linear Gain Deviation exceeds some fixed threshold for the Loss with mutually dependent normally distributed random coefficients.
pr_nd_dev_g(w,matrix_mn,matrix_cov) |
short call; |
pr_nd_dev_g_name(w,matrix_mn,matrix_cov) |
call with optional name. |
Parameters
is a threshold.
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 for Gain Normal Dependent is calculated as follows:
,
where
is standard Deviation of Gain Funtion,
is the standard normal distribution;
is an argument of function.
Example
See also
Probability Group, Probability of Exceedance Deviation Normal Dependent.