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

In NNS: Nonlinear Nonparametric Statistics

NNS FSD Test uni-directional

Description

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

Usage

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. \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.uni(x, y)

## End(Not run)

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