NNS.SD.efficient.set: NNS SD Efficient Set

View source: R/SD_Efficient_Set.R

NNS.SD.efficient.setR Documentation

NNS SD Efficient Set

Description

Determines the set of stochastic dominant variables for various degrees.

Usage

NNS.SD.efficient.set(x, degree, type = "discrete", status = TRUE)

Arguments

x

a numeric matrix or data frame.

degree

numeric options: (1, 2, 3); Degree of stochastic dominance test from (1, 2 or 3).

type

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

status

logical; TRUE (default) Prints status update message in console.

Value

Returns set of stochastic dominant variable names.

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. DOI: doi: 10.4236/jmf.2016.61012.

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

Examples

## Not run: 
set.seed(123)
x <- rnorm(100) ; y<-rnorm(100) ; z<-rnorm(100)
A <- cbind(x, y, z)
NNS.SD.efficient.set(A, 1)

## End(Not run)

NNS documentation built on Jan. 8, 2023, 1:08 a.m.