See page 220 of Vinod (2008) “Hands-on Intermediate Econometrics Using R,”
for the trapezoidal integration formula
needed for stochastic dominance. The book explains pre-multiplication by two
large sparse matrices denoted by I_F, I_f. Here we accomplish the
same computation without actually creating the large sparse matrices. For example, the
I_f is replaced by
cumsum in this code (unlike the R code in
A vector of consecutive interval lengths, upon combining both data vectors
Vector of probabilities of the type 1/2T, 2/2T, 3/2T, etc. to 1.
Returns a result after pre-multiplication by I_F, I_f matrices, without actually creating the large sparse matrices. This is an internal function.
This is an internal function, called by the function
comparison of two portfolios in terms of stochastic dominance (SD) of orders
1 to 4.
Typical usage is:
This produces numerical evaluation vectors for the four orders, SD1 to SD4.
Prof. H. D. Vinod, Economics Dept., Fordham University, NY
Vinod, H. D.', 'Hands-On Intermediate Econometrics Using R' (2008) World Scientific Publishers: Hackensack, NJ. https://www.worldscientific.com/worldscibooks/10.1142/6895
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