Standard Gain (st_risk_g)
Contents
Standard Gain. (Standard Deviation of Linear Loss scenarios)-(Average of Linear Loss scenarios). It is calculated with Matrix of Scenarios.
Syntax
st_risk_g(matrix) |
short call; |
st_risk_g_name(matrix) |
call with optional name. |
Parameters
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Mathematical Definition
Standard Gain 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 Risk Normal Independent, Standard Gain Normal Independent, Standard Risk Normal Dependent, Standard Gain Normal Dependent, Standard Deviation, Mean Square Error, Mean Square Error Normal Independent, Mean Square Error Normal Dependent, Variance