NNS.SSD: NNS SSD Test

In NNS: Nonlinear Nonparametric Statistics

NNS SSD Test

Description

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

Usage

NNS.SSD(x, y, plot = TRUE)

Arguments

x	a numeric vector.
y	a numeric vector.
plot	logical; TRUE (default) plots the SSD test.

Value

Returns one of the following SSD results: "X SSD Y", "Y SSD X", or "NO SSD 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. DOI: \Sexpr[results=rd]{tools:::Rd_expr_doi("10.4236/jmf.2016.61012")}.

Examples

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

## End(Not run)

NNS documentation built on Nov. 28, 2023, 1:10 a.m.