Root Mean Squared Error Normal Dependent (st_pen_nd)
Contents
Root Mean Squared Error Normal Dependent. Squared Error of Linear Loss with mutually dependent normally distributed random coefficients. It is calculated with Matrix of Means (one row matrix) and Covariance Symmetric Matrix.
Syntax
st_pen_nd(matrix_mn,matrix_cov) |
short call; |
st_pen_nd_name(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.
Mathematical Definition
Root Mean Squared Error Normal Dependent function is calculated as follows:
,
where
,
,
is an argument of function.
Remarks
Matrix matrix_cov have to be symmetric.
Example
See also
Root Mean Squared Error, Root Mean Squared Error Normal Independent, Standard Risk, Standard Gain, Standard Risk Normal Independent, Standard Gain Normal Independent, Standard Risk Normal Dependent, Standard Gain Normal Dependent, Standard Deviation, Mean Square Error, Mean Square Error Normal Independent, Mean Square Error Normal Dependent, Variance