NNS (version 11.3)

NNS.TSD: NNS TSD Test

Description

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

Usage

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

Value

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

Arguments

x

a numeric vector.

y

a numeric vector.

plot

logical; TRUE (default) plots the TSD 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.TSD(x, y)
}