Co‑Lower Partial Moment

Computes the co‑lower partial moment (lower‑left quadrant 4) between two equal‑length numeric vectors at any degree and target.

Usage

Co.LPM(degree_lpm, x, y, target_x, target_y, degree_y = NULL)

Arguments

degree_lpm

numeric; degree for x ("degree_x"). degree = 0 gives frequency, degree = 1 gives area.

x

numeric vector of observations.

y

numeric vector of the same length as x.

target_x

numeric vector; thresholds for x (defaults to mean(x)).

target_y

numeric vector; thresholds for y (defaults to mean(y)).

degree_y

numeric; optional degree for y. If omitted, `degree_lpm` is used for both x and y.

Value

Numeric vector of co‑LPM values.

References

Viole, F. & Nawrocki, D. (2013) *Nonlinear Nonparametric Statistics: Using Partial Moments* (ISBN:1490523995)

Author

Fred Viole, OVVO Financial Systems

Examples

  set.seed(123)
  x <- rnorm(100); y <- rnorm(100)
  Co.LPM(0, x, y, mean(x), mean(y))
#> [1] 0.31