VaR Component Positive. α*I -th value in the ordered  ascending sequence of scaled components of a I-dimensional vector, where 0≤α≤1. E.g., with α=0.8, I=100, we order components of the vector and take the component number α*I = 80  

 

Syntax

 
Parameters

matrix        is a PSG matrix:

 

where the header row contains names of variables. The second row contains numerical data.

       is a confidence level.

 

Mathematical Definition

VaR Component Positive function is calculated as follows:

,

where

values  are arranged in ascending order:

.

Let  be a confidence level.

Let us denote by an index such that and . Index is such that the confidence level α equals .

is an argument of VaR Component Positive function.

 

Example

 

See also

Polynomial Absolute, Relative Entropy, CVaR Component Positive, CVaR Component Negative, CVaR Component Absolute, VaR Component Negative, Maximum Component Positive, Maximum Component Negative, Maximum Component Absolute, Quadratic Function, Squareroot Quadratic, Logarithms Sum