bigfp: Compute the numerical integration by the trapezoidal rule.
In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection
bigfp R Documentation
Compute the numerical integration by the trapezoidal rule.
Description
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).
Usage
bigfp(d, p)
Arguments
d
A vector of consecutive interval lengths, upon combining both data vectors
p
Vector of probabilities of the type 1/2T, 2/2T, 3/2T, etc. to 1.
Value
Returns a result after pre-multiplication by I_F, I_f
matrices, without actually creating the large sparse matrices. This is an internal function.
Note
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.
Author(s)
Prof. H. D. Vinod, Economics Dept., Fordham University, NY
References
Vinod, H. D.', 'Hands-On Intermediate Econometrics
Using R' (2008) World Scientific Publishers: Hackensack, NJ.
https://www.worldscientific.com/worldscibooks/10.1142/12831
generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.
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| bigfp | R Documentation |
Compute the numerical integration by the trapezoidal rule.
Description
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).
Usage
bigfp(d, p)
Arguments
d |
A vector of consecutive interval lengths, upon combining both data vectors |
p |
Vector of probabilities of the type 1/2T, 2/2T, 3/2T, etc. to 1. |
Value
Returns a result after pre-multiplication by I_F, I_f
matrices, without actually creating the large sparse matrices. This is an internal function.
Note
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.
Author(s)
Prof. H. D. Vinod, Economics Dept., Fordham University, NY
References
Vinod, H. D.', 'Hands-On Intermediate Econometrics Using R' (2008) World Scientific Publishers: Hackensack, NJ. https://www.worldscientific.com/worldscibooks/10.1142/12831
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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