Description Usage Arguments Value Author(s) References
Implements the partial co-moments symmetric expectation approximation method, described
in Nawrocki (1991), and passed to the quadratic optimization solver through the pmSolver
method.
1 | pcmExpectation(pme, corr, tail="lower", moment)
|
pme |
An object of class |
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 |
moment |
The partial moment, required if the “pme” argument is a vector
rather than a |
An object of class PCME
.
Alexios Ghalanos
Nawrocki, David N. (1991), Optimal algorithms and lower partial moment: ex post results, Applied Economics, 23 (3), 465—70.
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