Co.LPM: Co-Lower Partial Moment (Lower Left Quadrant 4)

Description Usage Arguments Value Author(s) References Examples

Description

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

Usage

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Co.LPM(degree.x, degree.y, x, y, target.x = mean(x), target.y = mean(y))

Arguments

degree.x

Degree for variable X. degree.x = 0 is frequency, degree.x = 1 is area.

degree.y

Degree for variable Y. degree.y = 0 is frequency, degree.y = 1 is area.

x

Variable X

y

Variable Y

target.x

Typically the mean of Variable X, but does not have to be.

target.y

Typically the mean of Variable Y, 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(0,0,x,y,mean(x),mean(y))


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