Lower Partial Moment

Share:

Description

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

Usage

1
LPM(degree, target, variable)

Arguments

degree

Degree = 0 is frequency, degree = 1 is area

target

Typically set to mean, but does not have to be

variable

Variable

Value

LPM of variable

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

1
2
3
set.seed(123)
x<-rnorm(100)
LPM(0,mean(x),x)