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While on this subject, I usually import data from AB and do further
analysis using Excel, and I use "BETAINV" function from excel.
Does anybody know how to convert this formula in AB? Help would be
appreciated.
Thanks,
Gary.
NOTE:
This is the help of BETAINV usage in Excel:
Syntax
BETAINV(probability,alpha,beta,A,B)
Probability is a probability associated with the beta distribution.
Alpha is a parameter of the distribution.
Beta is a parameter the distribution.
A is an optional lower bound to the interval of x.
B is an optional upper bound to the interval of x.
Remarks
If any argument is nonnumeric, BETAINV returns the #VALUE! error
value.
If alpha ¡Ü 0 or beta ¡Ü 0, BETAINV returns the #NUM! error value.
If probability ¡Ü 0 or probability > 1, BETAINV returns the #NUM!
error value.
If you omit values for A and B, BETAINV uses the standard cumulative
beta distribution, so that A = 0 and B = 1.
Given a value for probability, BETAINV seeks that value x such that
BETADIST(x, alpha, beta, A, B) = probability. Thus, precision of
BETAINV depends on precision of BETADIST. BETAINV uses an iterative
search technique. If the search has not converged after 100
iterations, the function returns the #N/A error value.
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
>
> I came across what I consider to be a valuable stock market/economic
> indicator, the Wright Model "B" yield-curve indicator. Using this
> formula in Excel:
>
>
> Probability = NORMSDIST(-2.17 - 0.76 x S + 0.35 x R)
>
> where "S" is the spread (10-Year Treasury yield minus 3-month T-Bill
> yield) and "R" is the Fed Funds rate, it gives the probability of
> economic recession within the next 4 quarters. (Only about 44%
right
> now, so there's some good news. I envision using this as a market-
exit
> indicator, warning when conditions are about to turn really ugly for
> both the stock market and the economy. )
>
> This formula:
>
>
> Z(x) = (1/(sqrt(2*pi()))*exp(-x^2/2))
>
> appears to be the actual math represented by the NORMSDIST
function. I
> believe AB supports all the operations in this formula.
>
> My problem is that I'm not math-savvy enough to make the leap from
here
> to turn this into a complete AB formula. I don't know what
operation
> the NORMSDIST formula performs on the Wright Model part, I don't
know
> what the "x" variable is supposed to be...there's no end to what I
don't
> know.:)
>
> Any help from my superiors in the math field (undoubtedly a VERY
large
> club) would be greatly appreciated.
>
>
>
> Luck to all,
>
> Sebastian
>
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