bigfp | R Documentation |

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)
```

`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. |

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. https://www.worldscientific.com/worldscibooks/10.1142/6895

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