Divergent-Lower Partial Moment (Lower Right Quadrant 3)

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Description

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

Usage

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D.LPM(degree_n, degree_q, variable1, variable2, target1 = mean(variable1),
  target2 = mean(variable2))

Arguments

degree_n

Degree = 0 is frequency, degree = 1 is area

degree_q

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

Divergent 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)
D.LPM(0,0,mean(x),mean(y),x,y)