NNS (version 11.3)

NNS.FSD.uni: NNS FSD Test uni-directional

Description

Uni-directional test of first degree stochastic dominance using lower partial moments used in SD Efficient Set routine.

Usage

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

Value

Returns (1) if "X FSD Y", else (0).

Arguments

x

a numeric vector.

y

a numeric vector.

type

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

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)
NNS.FSD.uni(x, y)
}