Co.UPM: Co‑Upper Partial Moment

In NNS: Nonlinear Nonparametric Statistics

Co‑Upper Partial Moment

Description

Computes the co‑upper partial moment (upper‑right quadrant 1) between two equal‑length numeric vectors at any degree and target.

Usage

Co.UPM(degree_upm, x, y, target_x, target_y, degree_y = NULL)

Arguments

degree_upm	numeric; degree for x ("degree_x"). degree = 0 gives frequency, degree = 1 gives area.
x	numeric vector of observations.
y	numeric vector of the same length as x.
target_x	numeric vector; thresholds for x (defaults to mean(x)).
target_y	numeric vector; thresholds for y (defaults to mean(y)).
degree_y	numeric; optional degree for y. If omitted, 'degree_upm' is used for both x and y.

Value

Numeric vector of co‑UPM values.

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. & Nawrocki, D. (2013) *Nonlinear Nonparametric Statistics: Using Partial Moments* (ISBN:1490523995)

Examples

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

NNS documentation built on April 10, 2026, 9:10 a.m.