Mean Absolute Normal Dependent Error (meanabs_nd_err)
Contents
Mean Absolute Normal Dependent Error. Mean Absolute of Linear Loss function with mutually dependent normally distributed random coefficients.
Syntax
meanabs_nd_err(matrix_mn,matrix_cov) |
short call |
meanabs_nd_err_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.
Output
When function Mean Absolute Normal Dependent Error is used in optimization or calculation problems PSG automatically calculates and includes in the solution report two outputs:
pseudo_R2_function_name |
|
contributions(function_name) |
Mathematical Definition
Mean Absolute Normal Dependent Error function is calculated as follows:
,
where
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution.
is an argument of Mean Absolute Normal Dependent Error function.
Example
See also
Mean Absolute Error, Mean Absolute Error Normal Independent, Mean Square Error, Mean Square Error Normal Independent , Mean Square Error Normal Dependent, Root Mean Squared Error, Root Mean Squared Error Normal Independent, Root Mean Squared Error Normal Dependent, Koenker and Basset Error, Rockafellar Error