Lower Partial Moment Ratio — LPM.ratio • NNS

This function generates a standardized univariate lower partial moment of any non‑negative degree for a given target.

Usage

LPM.ratio(degree, target, variable)

Arguments

degree: numeric; degree = 0 gives frequency (CDF), degree = 1 gives area.
target: numeric vector; threshold(s). Defaults to mean(variable).
variable: numeric vector or data‑frame column to evaluate.

Value

Numeric vector of standardized lower partial moments.

References

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

Viole, F. (2017) Continuous CDFs and ANOVA with NNS. doi:10.2139/ssrn.3007373

Author

Fred Viole, OVVO Financial Systems

Examples

  set.seed(123)
  x <- rnorm(100)
  LPM.ratio(0, mean(x), x)
#> [1] 0.51
if (FALSE) { # \dontrun{
  plot(sort(x), LPM.ratio(0, sort(x), x))
  plot(sort(x), LPM.ratio(1, sort(x), x))
} # }