UPM.ratio: Upper Partial Moment RATIO

In OVVO-Financial/NNS: Nonlinear Nonparametric Statistics

Upper Partial Moment RATIO

Description

This function generates a standardized univariate upper partial moment for any degree or target.

Usage

UPM.ratio(degree, target, variable)

Arguments

degree	integer; (degree = 0) is frequency, (degree = 1) is area.
target	numeric; Typically set to mean, but does not have to be. (Vectorized)
variable	a numeric vector.

Value

Standardized UPM of variable

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

set.seed(123)
x <- rnorm(100)
UPM.ratio(0, mean(x), x)

## Joint Upper CDF
## Not run: 
x <- rnorm(5000) ; y <- rnorm(5000)
plot3d(x, y, Co.UPM(0, sort(x), sort(y), x, y), col = "blue", xlab = "X", ylab = "Y",
zlab = "Probability", box = FALSE)

## End(Not run)

OVVO-Financial/NNS documentation built on April 22, 2024, 10:26 p.m.