Upside covariance

This function returns the upside covariance for the columns of variable Y

Description

Y = UPSIDECOVARIANCE(Y) returns the upside covariance for columns of
variable Y.

Y = UPSIDECOVARIANCE(Y, m) returns the upside covariance using vector m
as expected value for columns of variable Y.

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Upside covariance is defined as
              E[max(yi - mi, 0) max(yj - mj, 0)]
If omitted, m is the sampe mean of Y.

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See also VAR, STD, COV.

• MATLAB release: MATLAB 7 (R14)

[Rob Campbell]

The functions are very similar: Wouldn't it be better to have one function that returns all of these variances and covariances? Either return all of them in a structure or return a single output which is defined by the user via an input argument.

[Francesco Pozzi]

You're right, Rob, I've considered that idea (and that was how I had written the code at first). The point is that Malab itself has VAR, COV and CORRCOEF, I thought maybe the user prefers to keep them separate.

Perhaps I could join the "upside" and "downside" functions into a single function ... actually two functions instead of one might be a bit redundant.