RelativeDifference function

Relative Difference

Relative Difference

Calculates the difference between positive x and y values

RelativeDifference(X, Y, epsilon = 10^-10,na.rm=FALSE)

Arguments

  • X: either a value or numerical vector of [1:n]
  • Y: either a value or numerical vector of [1:n]
  • epsilon: Optional, If both x and y are approximatly zero the output is also zero
  • na.rm: Optional, function does not work with non finite values. If these cases should be automatically removed, set parameter TRUE

Details

Contrary to other approaches in this cases the range of values lies between [-2,2]. The approach is only valid for positive values ofX and Y. The realtive difference R is defined with

R=YX0.5(X+Y) R=\frac{Y-X}{0.5*(X+Y)}

Negative value indicate that X is higher than Y and positive values that X is lower than Y.

Returns

R

References

Ultsch, A.: Is Log Ratio a Good Value for Measuring Return in Stock Investments? GfKl 2008, pp, 505-511, 2008.

Author(s)

Michael Thrun

Note

It can be combined with the GabrielClassificationError if a clear baseline is defined.

See Also

GabrielClassificationError

Examples

x=c(1:5) y=runif(5,min=1,max=10) RelativeDifference(x,y)
  • Maintainer: Michael Thrun
  • License: GPL-3
  • Last published: 2024-06-20