NNS (version 11.1)

NNS.SD.efficient.set: NNS SD Efficient Set

Description

Determines the set of stochastic dominant variables for various degrees.

Usage

NNS.SD.efficient.set(x, degree, type = "discrete", status = TRUE)

Value

Returns set of stochastic dominant variable names.

Arguments

x

a numeric matrix or data frame.

degree

numeric options: (1, 2, 3); Degree of stochastic dominance test from (1, 2 or 3).

type

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

status

logical; TRUE (default) Prints status update message in console.

Author

Fred Viole, OVVO Financial Systems

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. tools:::Rd_expr_doi("10.4236/jmf.2016.61012").

Viole, F. (2017) "A Note on Stochastic Dominance." tools:::Rd_expr_doi("10.2139/ssrn.3002675")

Examples

if (FALSE) {
set.seed(123)
x <- rnorm(100) ; y<-rnorm(100) ; z<-rnorm(100)
A <- cbind(x, y, z)
NNS.SD.efficient.set(A, 1)
}