[jira] Resolved: (MATH-323) Add Semivariance calculation

["Phil Steitz (JIRA)" <ji...@apache.org>]

     [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Phil Steitz resolved MATH-323.
------------------------------

    Resolution: Fixed

Last patch committed with the following changes in r910264:

* per comments above, used deviations from cutoff rather than the mean when a cutoff is provided
* improved efficiency of evaluate loop
* added convenience evaluate methods (different sets of parameters)
* conform to Commons Math coding standards (CheckStyle)

I did look into improved numerics similar to Variance on the sum of squares computation, but without assumptions on cutoff, I do not see a way to improve accuracy in the sum.  

Thanks for the patch!

> 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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