Probability of Exceedance Penalty for Gain Normal Dependent (pr_pen_nd_g)
Contents
Probability of Exceedance Penalty for Gain Normal Dependent. Probability that Linear Gain exceeds some fixed threshold for the Loss with mutually dependent normally distributed random coefficients.
Syntax
pr_pen_nd_g(w,matrix_mn,matrix_cov) |
short call; |
pr_pen_nd_g_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 Penalty for Gain Normal Dependent is calculated as follows:
where
is Probability of Exceedance Penalty for Loss Normal Dependent function
is a Gain Function (See section Loss and Gain Functions)
is average of Gain Function;
is standard Deviation of Gain Function;
is the standard normal distribution;
is an argument of function.
Example
See also
Probability Group, Probability of Exceedance Penalty for Loss Normal Dependent.