D.UPM: Divergent-Upper Partial Moment (Upper Left Quadrant 2)

Description Usage Arguments Value Author(s) References Examples

Description

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

Usage

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D.UPM(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

Divergent UPM 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.UPM(0,0,x,y,mean(x),mean(y))


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