Partial Moment Two for Gain Normal Independent (pm2_pen_ni_g)
Contents
Partial Moment Two Penalty for Gain Normal Independent. Expected squared Linear - (Loss) in access of of some fixed threshold for Loss with independent normally distributed random coefficients.
Syntax
pm2_pen_ni_g(w,matrix_mn,matrix_vr) |
short call |
pm2_pen_ni_g_name(w,matrix_mn,matrix_vr) |
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_vr is a PSG matrix of variance values:
where the header row contains names of variables. The second row contains numerical data.
 | is a threshold value. |
Mathematical Definition
Partial Moment Two for Gain Normal Independent function is calculated as follows:
,
where
is Partial Moment Two Normal Independent 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 function.
Example
See also
Partial Moment Group, Partial Moment Two Normal Independent.