Divergent‑Upper Partial Moment

Computes the divergent upper partial moment (upper‑left quadrant 2) between two equal‑length numeric vectors.

Usage

D.UPM(degree_lpm, degree_upm, x, y, target_x, target_y)

Arguments

degree_lpm

numeric; LPM degree = 0 gives frequency, = 1 gives area.

degree_upm

numeric; UPM degree = 0 gives frequency, = 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)).

Value

Numeric vector of divergent UPM 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)
  D.UPM(0, 0, x, y, mean(x), mean(y))
#> [1] 0.2