NNS (version 11.3)

NNS.SSD: NNS SSD Test

Description

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

Usage

NNS.SSD(x, y, plot = TRUE)

Value

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

Arguments

x

a numeric vector.

y

a numeric vector.

plot

logical; TRUE (default) plots the SSD test.

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").

Examples

if (FALSE) {
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.SSD(x, y)
}