Standard Risk Normal Dependent (st_risk_nd)
Contents
Standard Risk Normal Dependent. (Standard Deviation of Linear Loss)+(Average of Linear Loss). It is calculated with Matrix of Means (one row matrix) and Covariance Symmetric Matrix.
Syntax
st_risk_nd(matrix_mn,matrix_cov) |
short call; |
st_risk_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
Standard Risk Normal Dependent function is calculated as follows:
,
where
,
,
is Loss Function (See section Loss and Gain Functions);
is an argument of function.
Example
See also
Root Mean Squared Error, Root Mean Squared Error Normal Independent, Root Mean Squared Error Normal Dependent, Standard Risk, Standard Gain, Standard Risk Normal Independent, Standard Gain Normal Independent, Standard Gain Normal Dependent, Standard Deviation, Mean Square Error, Mean Square Error Normal Independent, Mean Square Error Normal Dependent, Variance