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

In NNS: Nonlinear Nonparametric Statistics

Divergent-Upper Partial Moment (Upper Left Quadrant 2)

Description

This function generates a divergent upper partial moment between two equal length variables for any degree or target.

Usage

D.UPM(degree_lpm, degree_upm, x, y, target_x, target_y)

Arguments

degree_lpm	integer; Degree for lower deviations of variable X. (degree_lpm = 0) is frequency, (degree_lpm = 1) is area.
degree_upm	integer; Degree for upper deviations of variable Y. (degree_upm = 0) is frequency, (degree_upm = 1) is area.
x	a numeric vector. data.frame or list type objects are not permissible.
y	a numeric vector of equal length to x. data.frame or list type objects are not permissible.
target_x	numeric; Target for lower deviations of variable X. Typically the mean of Variable X for classical statistics equivalences, but does not have to be.
target_y	numeric; Target for upper deviations of variable Y. Typically the mean of Variable Y for classical statistics equivalences, 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" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

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

NNS documentation built on Nov. 28, 2023, 1:10 a.m.