NNS (version 11.5)

Co.UPM_nD: Co‑Upper Partial Moment nD

Description

This function generates an n‑dimensional co‑upper partial moment (n >= 2) for any degree or target.

Usage

Co.UPM_nD(data, target, degree = 0, norm = TRUE)

Value

Numeric; the n‑dimensional co‑upper partial moment.

Arguments

data

A numeric matrix with observations in rows and variables in columns.

target

A numeric vector, length equal to ncol(data).

degree

numeric; degree for upper deviations (0 = frequency, 1 = area).

norm

logical; if TRUE (default) normalize to the maximum observed value (→ [0,1]), otherwise return the raw moment.

Examples

if (FALSE) {
mat <- matrix(rnorm(200), ncol = 4)
Co.UPM_nD(mat, rep(0, ncol(mat)), degree = 1, norm = FALSE)
}