Mean Absolute Deviation Normal Dependent (meanabs_nd_dev)
Contents
Mean Absolute Deviation Normal Dependent. Mean Absolute Deviation for Linear Loss function with mutually dependent normally distributed random coefficients.
Syntax
meanabs_nd_dev(matrix_mn,matrix_cov) |
short call |
meanabs_nd_dev_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
Mean Absolute Deviation Normal Dependent function is calculated as follows:
,
where
is Mean Absolute Penalty Normal Dependent function,
,
is Loss Function (See section Loss and Gain Functions),
,
is the standard normal distribution,
is probability density function of the standard normal distribution,
is an argument of Mean Absolute Deviation Normal Dependent function.
Remarks
matrix_mn is not used in the calculation of Mean Absolute Deviation Normal Dependent function.
Example
See also
Mean Absolute Error, Mean Absolute Error Normal Independent, Mean Absolute Error Normal Dependent, Mean Absolute Risk, Mean Absolute Risk for Gain, Mean Absolute Risk Normal Independent, Mean Absolute Risk for Gain Normal Independent, Mean Absolute Risk Normal Dependent, Mean Absolute Risk for Gain Normal Dependent, Mean Absolute Deviation, Mean Absolute Deviation Normal Independent