bootDom12: bootstrap confidence intervals for (x2-x1) exact SD1 to SD4...

In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

bootstrap confidence intervals for (x2-x1) exact SD1 to SD4 stochastic dominance .

Description

This calls the meboot package to create J=999 replications of portfolio return matrices and compute 95% confidence intervals on x1, x2 and their difference (x2-x1). If the interval on (x2-x1) conta.ins zero the choice between the two can reverse due to sampling variation

Usage

bootDom12(x1, x2, confLevel = 95, reps = 999)

Arguments

x1	a vector of n portfolio returns
x2	a vector of n portfolio returns
confLevel	confidene level confLevel=95 is default
reps	number of bootstrap resamples, default is reps=999

Value

A matrix with six columns. First two Low1 and Upp1 are confidence interval limits for x1. Next two columns have analogous limits for x2. The last but first columns entitled Lowx2mx1 means lower confidence limit for (x2-x1), where m=minus. The last column entitled Uppx2mx1 means upper confidence limit for (x2-x1).

For strong stochastic dominance of x2 over x1 dominance beyond sampling variability, zero should not be inside the confidence interval in the last two columns.

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

See Also

see exactSdMtx

generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.