pcmExpectation-methods: Methods: Partial Co-Moments Expectation

Description Usage Arguments Value Author(s) References

Description

Implements the partial co-moments symmetric expectation approximation method, described in Nawrocki (1991), and passed to the quadratic optimization solver through the pmSolver method.

Usage

1
pcmExpectation(pme, corr, tail="lower", moment)

Arguments

pme

An object of class PME or a numeric vector with partial moments.

corr

A correlation matrix.

tail

Optional character vector indicating whether the lower or upper partial moments are being used to generate the co-moment matrix. Only suggested if the pme argument is a vector rather than a PME object which already contains this information.

moment

The partial moment, required if the “pme” argument is a vector rather than a PME object which already contains this information.

Value

An object of class PCME.

Author(s)

Alexios Ghalanos

References

Nawrocki, David N. (1991), Optimal algorithms and lower partial moment: ex post results, Applied Economics, 23 (3), 465—70.


pmoments documentation built on May 31, 2017, 1:48 a.m.