RiskCorrmat

Descripción

RiskCorrmat(matrix cell range,position,instance) identifies a distribution function of an input as being “attached” to a correlation matrix to allow multivariate correlation. This function identifies a matrix definition range, the position in the matrix, and optionally a unique correlation instance.

Correlation matrices are typically defined through @RISK’s Define Correlation Matrix command. However, the same type of correlation can be entered directly in a cell paramula with the RiskCorrmat function.

The matrix identified by the matrix cell range is a matrix of rank correlation coefficients.  Each element in the matrix contains a correlation coefficient.  The number of distribution functions correlated by the matrix equals the number of rows or columns in the matrix. 

The position argument is an integer from 1 to the number of distributions being correlated. For example, if position is 2, this indicates the second variable being correlated.

The instance argument is optional and is used when multiple groups of correlated inputs use the same correlation matrix. Instance is an integer or string argument, and all inputs in a correlated group of inputs share the same instance value or string.  If string arguments are used, they must be inside quotes.

See the Define Correlations section of this manual para more detailed inparamation about correlations and correlation matrices.

Ejemplos

RiskNormal(10,10, RiskCorrmat(C10:G14,1,"Matrix 1")) specifies that the Normal(10,10) distribution is the first (position 1) of five correlated inputs, with the 5x5 matrix of correlation coefficients located in the range C10:G14.

Reglas

See the Define Correlations section of this manual.