VN TSD Test

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Description

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

Usage

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VN.TSD(x, y)

Arguments

x

variable

y

variable

Value

Returns one of the following TSD results: "X TSD Y", "Y TSD X", or "NO TSD 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)
VN.TSD(x,y)