NNS.FSD.uni: NNS FSD Test uni-directional

Description Usage Arguments Value Author(s) References Examples

View source: R/Uni_SD_Routines.R

Description

Uni-directional test of first degree stochastic dominance using lower partial moments used in SD Efficient Set routine.

Usage

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

Arguments

x

a numeric vector.

y

a numeric vector.

type

options: ("discrete", "continuous"); "discrete" (default) selects the type of CDF.

Value

Returns (1) if "X FSD Y", else (0).

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. https://www.scirp.org/Journal/PaperInformation.aspx?PaperID=63817.

Viole, F. (2017) "A Note on Stochastic Dominance." https://www.ssrn.com/abstract=3002675.

Examples

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set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.FSD.uni(x, y)

NNS documentation built on June 26, 2021, 1:07 a.m.