NNS.FSD: NNS FSD Test

In NNS: Nonlinear Nonparametric Statistics

NNS FSD Test

Description

Bi-directional test of first degree stochastic dominance using lower partial moments.

Usage

NNS.FSD(x, y, type = "discrete", plot = TRUE)

Arguments

x	a numeric vector.
y	a numeric vector.
type	options: ("discrete", "continuous"); "discrete" (default) selects the type of CDF.
plot	logical; TRUE (default) plots the FSD test.

Value

Returns one of the following FSD results: "X FSD Y", "Y FSD X", or "NO FSD EXISTS".

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2016) "LPM Density Functions for the Computation of the SD Efficient Set." Journal of Mathematical Finance, 6, 105-126. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.4236/jmf.2016.61012")}.

Viole, F. (2017) "A Note on Stochastic Dominance." \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2139/ssrn.3002675")}.

Examples

## Not run: 
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.FSD(x, y)

## End(Not run)

NNS documentation built on Oct. 14, 2024, 5:09 p.m.