Partial Moment Normal Independent (pm_pen_ni)
Contents
Partial Moment Normal Independent. Expected access of Linear Loss over some fixed threshold for the Loss with independent normally distributed random coefficients.
Syntax
pm_pen_ni(w,matrix_mn,matrix_vr) |
short call |
pm_pen_ni_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 Penalty Normal Independent function is calculated as follows:
,
where
,
,
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 for Gain Normal Independent.