Y = DOWNSIDECORRELATION(Y) returns the downside correlation for columns of variable Y.
Y = DOWNSIDECORRELATION(Y, m) returns the downside correlation using vector m as expected value for columns of variable Y.
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Downside correlation is defined as the downside covariance divided by the squared root of the product of downside variances:
E[min(yi - mi, 0) min(yj - mj), 0] / sqrt{E[min(yi - mi, 0) ^ 2]} / sqrt{E[min(yj - mj, 0) ^ 2]}
If omitted, m is the sampe mean of Y.
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See also VAR, STD, COV, CORRCOEF.
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