Co-Lower Partial Moment (Lower Left Quadrant 4)

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Description

This function generates a multivariate co-lower partial moment for any degree or target.

Usage

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Co.LPM(degree, variable1, variable2, target1 = mean(variable1),
  target2 = mean(variable2))

Arguments

degree

Degree = 0 is frequency, degree = 1 is area

variable1

Variable 1

variable2

Variable 2

target1

Defaults to mean of Variable 1, but does not have to be...

target2

Defualts to mean of Variable 2, but does not have to be...

Value

Co-LPM of two variables

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" http://amzn.com/1490523995

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100)
Co.LPM(0,mean(x),mean(y),x,y)