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

Description Usage Arguments Value Author(s) References Examples

View source: R/SD_Efficient_Set.R

Description

Determines the set of stochastic dominant variables for various degrees.

Usage

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

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.

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

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

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100); z<-rnorm(100)
A<-cbind(x,y,z)
NNS.SD.efficient.set(A,1)

NNS documentation built on Nov. 17, 2017, 5:19 a.m.