NNS.FSD.uni {NNS} | R Documentation |
Uni-directional test of first degree stochastic dominance using lower partial moments used in SD Efficient Set routine.
NNS.FSD.uni(x, y, type = "discrete")
x |
a numeric vector. |
y |
a numeric vector. |
type |
options: ("discrete", "continuous"); |
Returns (1) if "X FSD Y"
, else (0).
Fred Viole, OVVO Financial Systems
Viole, F. and Nawrocki, D. (2016) "LPM Density Functions for the Computation of the SD Efficient Set." Journal of Mathematical Finance, 6, 105-126. DOI: doi: 10.4236/jmf.2016.61012.
Viole, F. (2017) "A Note on Stochastic Dominance." https://www.ssrn.com/abstract=3002675.
set.seed(123) x <- rnorm(100) ; y <- rnorm(100) NNS.FSD.uni(x, y)