NNS.SSD: NNS SSD Test

Description Usage Arguments Value Author(s) References Examples

View source: R/SSD.R

Description

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

Usage

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NNS.SSD(x, y)

Arguments

x

a numeric vector.

y

a numeric vector.

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

Examples

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

NNS documentation built on May 15, 2018, 5:04 p.m.