linearized form (Howe’s approximation) [RSABE / ABEL]

posted by Helmut Homepage – Vienna, Austria, 2013-04-19 16:12 (4408 d 14:14 ago) – Posting: # 10437
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Hi Rohit,

❝ a. the 95% upper confidence bound for (Yt-Yr)^2 -ØS^2 must be ≤ 0


❝ My question is Why only upper limit is consider for acceptance criteria?


Since the SABE model

θs ≤ (μTμR) ∕ σWθs

is rearranged and linearized to

(μTμR)2θs2·σW2 ≤ 0.

For an overview see this lecture (slides 23–25) and details in the following references:



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