bigfp: Compute the numerical integration by the trapezoidal rule.

Description Usage Arguments Value Note Author(s) References

View source: R/bigfp.R


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 my textbook).


bigfp(d, p)



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 stochdom2, for comparison of two portfolios in terms of stochastic dominance (SD) of orders 1 to 4. Typical usage is: sd1b=bigfp(d=dj, p=rhs) sd2b=bigfp(d=dj, p=sd1b) sd3b=bigfp(d=dj, p=sd2b) sd4b=bigfp(d=dj, p=sd3b). 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.

generalCorr documentation built on Jan. 4, 2022, 1:08 a.m.