This function generates a univariate upper partial moment for any degree or target.
Usage
UPM(degree, target, variable, excess_ret = FALSE)
Value
UPM of variable
Arguments
degree
integer; (degree = 0) is frequency, (degree = 1) is area.
target
numeric; Set to target = mean(variable) for classical equivalences, but does not have to be. (Vectorized)#' @param variable a numeric vector. data.frame or list type objects are not permissible.
variable
a numeric vector. data.frame or list type objects are not permissible.
excess_ret
Logical; FALSE (default)
Author
Fred Viole, OVVO Financial Systems
References
Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" (ISBN: 1490523995)