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From "Larry Diamond (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-323) Add Semivariance calculation
Date Thu, 31 Dec 2009 20:35:29 GMT

    [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12795667#action_12795667
] 

Larry Diamond commented on MATH-323:
------------------------------------

Thanks - I'll hopefully get this over the weekend.  Those annoying people who pay me a salary
have been actually consuming me time recently and I havent gotten done what I hoped.

Clearly, step one is those "Documentation Goes Here" bits. Getting those in there would clarify
your third point and I see is ***KEY*** to publicly reusable software.

I agree with not using AbstractStorelessUnivariateStatistic - I have to read over AbstractUnivariateStatistic
to make sure I can use it.  I'd like to extend something in the package.

I'll look at the UnivariateStatistic to see the constructors.  I can see that you'd want to
calculate Upward and Downward on the same data (and really the full variance too), although
yeah, once you have one you automatically have the other (full - downward = upward).
Clearly, those documentation bits would make what I'm talking about much clearer to all readers
of this post.

Thanks for the note on the not using boolean there.  There was just no way that I could have
people try to remember which direction was true and which direction was false.  That's just
silly and cruel.



> 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, 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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