NNS (version 11.3)

Co.UPM: Co-Upper Partial Moment (Upper Right Quadrant 1)

Description

This function generates a co-upper partial moment between two equal length variables for any degree or target.

Usage

Co.UPM(degree_upm, x, y, target_x, target_y)

Value

Co-UPM of two variables

Arguments

degree_upm

integer; Degree for upper variations of both variable X and Y. (degree_upm = 0) is frequency, (degree_upm = 1) is area.

x

a numeric vector. data.frame or list type objects are not permissible.

y

a numeric vector of equal length to x. data.frame or list type objects are not permissible.

target_x

numeric; Target for upside deviations of variable X. Typically the mean of Variable X for classical statistics equivalences, but does not have to be.

target_y

numeric; Target for upside deviations of variable Y. Typically the mean of Variable Y for classical statistics equivalences, but does not have to be.

Author

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" (ISBN: 1490523995)

Examples

set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
Co.UPM(0, x, y, mean(x), mean(y))