PM.matrix: Partial Moment Matrix

Description Usage Arguments Value Note Author(s) References Examples

View source: R/Partial_Moments.R

Description

This function generates a co-partial moment matrix for the specified co-partial moment.

Usage

1
PM.matrix(LPM.degree, UPM.degree, target, variable, pop.adj = FALSE)

Arguments

LPM.degree

integer; Degree for variable below target deviations. (degree = 0) is frequency, (degree = 1) is area.

UPM.degree

integer; Degree for variable above target deviations. (degree = 0) is frequency, (degree = 1) is area.

target

numeric; Typically the mean of Variable X for classical statistics equivalences, but does not have to be. (Vectorized) (target = "mean") will set the target as the mean of every variable.

variable

a numeric matrix or data.frame.

pop.adj

logical; FALSE (default) Adjusts the sample co-partial moment matrices for population statistics.

Value

Matrix of partial moment quadrant values. Uncalled quadrants will return a matrix of zeros.

Note

For divergent asymmetical "D.LPM" and "D.UPM" matrices, matrix is D.LPM(column,row,...).

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" http://amzn.com/1490523995

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100) ; z <- rnorm(100)
A <- cbind(x,y,z)
PM.matrix(LPM.degree = 1, UPM.degree = 1, target = "mean", variable = A)

## Calling Individual Partial Moment Quadrants
cov.mtx = PM.matrix(LPM.degree = 1, UPM.degree = 1, target = "mean", variable = A)
cov.mtx$cupm

## Full covariance matrix
cov.mtx$matrix

NNS documentation built on April 15, 2019, 5:05 p.m.