NNS (version 11.3)

UPM.ratio: Upper Partial Moment RATIO

Description

This function generates a standardized univariate upper partial moment for any degree or target.

Usage

UPM.ratio(degree, target, variable)

Value

Standardized UPM of variable

Arguments

degree

integer; (degree = 0) is frequency, (degree = 1) is area.

target

numeric; Typically set to mean, but does not have to be. (Vectorized)

variable

a numeric vector.

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)
UPM.ratio(0, mean(x), x)

## Joint Upper CDF
if (FALSE) {
x <- rnorm(5000) ; y <- rnorm(5000)
plot3d(x, y, Co.UPM(0, sort(x), sort(y), x, y), col = "blue", xlab = "X", ylab = "Y",
zlab = "Probability", box = FALSE)
}