cumulative maximum loss code

2 次查看（过去 30 天）
Alex
Alex 2020-3-6
评论： Koushik Vemula 2020-3-16
I'm new to Matlab and I'm having trouble with the code for the computation of cumulative maximum loss for a time series. What I need to do is to compute the maximum loss compared to the highest levels of the variable over a period T which is set to 522 days.
Specifically,
.
Thank you for any help

请先登录，再回答此问题。

回答（1 个）

Koushik Vemula
Koushik Vemula 2020-3-9
According to my understanding you have a variable ‘x’ which has ‘n’(say) number of values.
You would like to find the value of
where the value 522 is ‘T’ value.
You can do it in the following manner
1-(x(t))/max(x(1:T+1))
We have ‘+1’ as matlab index starts from ‘1’
  6 个评论
显示 4更早的评论
Alex
Alex 2020-3-13
Thank you, what about doing that in loop for all the observations of the time series?
Koushik Vemula
Koushik Vemula 2020-3-16
for i = T+1:length(x)
sol(i)=1-(x(i)/max(x(i-T:i)))
end
Here we are iterating from T+1 (index should be greater than 0) to max of x.
This will give you your desired result

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Box Plots 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by