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https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12828062#action_12828062
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Phil Steitz commented on MATH-323:
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Apologies for the response latency on the latest patch. Almost there.
I still think we should be computing deviations from the cutoff, rather than
the mean when a cutoff is provided. The version of evaluate that takes a cutoff
value should not require the mean as a parameter. We can also improve
efficiency in evaluate(...h...) by computing the deviation and incrementing the
SS only for values on the correct side of the cutoff.
We need to add references and formulas to the javadoc. I can take care of that
as long as we agree that we are using the mathematical formula here for lower
(aka downside) semivariance: http://www.jstor.org/pss/2330500. That formula
says that the lower semivariance is the expected squared deviation of a value
below the cutoff from the cutoff.
This can wait, but we should also see if we can get better numerics on the SS
computation by using a two-pass algorithm as we do in Variance
> Add Semivariance calculation
> ----------------------------
>
> Key: MATH-323
> URL: https://issues.apache.org/jira/browse/MATH-323
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.1
> Reporter: Larry Diamond
> Assignee: Phil Steitz
> Priority: Minor
> Fix For: 2.1
>
> Attachments: patch.txt, patch2.txt, SemiVariance.java,
> SemiVariance.java, SemiVariance.java, SemiVarianceTest.java,
> SemiVarianceTest.java, SemiVarianceTest.java, StatUtils.java, StatUtils.java,
> StatUtilsTest.java, StatUtilsTest.java
>
>
> I've added semivariance calculations to my local build of commons-math and I
> would like to contribute them.
> Semivariance is described a little bit on
> http://en.wikipedia.org/wiki/Semivariance , but a real reason you would use
> them is in finance in order to compute the Sortino ratio rather than the
> Sharpe ratio.
> http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the
> Sortino ratio and why you would choose to use that rather than the Sharpe
> ratio. (There are other ways to measure the performance of your portfolio,
> but I wont bore everybody with that stuff)
> I've already got the coding completed along with the test cases and building
> using mvn site.
> The only two files I've modified is
> src/main/java/org/apache/commons/stat/StatUtils.java and
> src/test/java/org/apache/commons/math/stat/StatUtilsTest.java
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