NNS (version 0.5.6)

NNS.FSD: NNS FSD Test

Description

Bi-directional test of first degree stochastic dominance using lower partial moments.

Usage

NNS.FSD(x, y, type = "discrete")

Arguments

x

a numeric vector.

y

a numeric vector.

type

options: ("discrete", "continuous"); "discrete" (default) selects the type of CDF.

Value

Returns one of the following FSD results: "X FSD Y", "Y FSD X", or "NO FSD EXISTS".

References

Viole, F. and Nawrocki, D. (2016) "LPM Density Functions for the Computation of the SD Efficient Set." Journal of Mathematical Finance, 6, 105-126. https://www.scirp.org/Journal/PaperInformation.aspx?PaperID=63817.

Viole, F. (2017) "A Note on Stochastic Dominance." https://www.ssrn.com/abstract=3002675.

Examples

# NOT RUN {
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.FSD(x, y)
# }