NNS FSD Test uni-directional — NNS.FSD.uni • NNS

Uni-directional test of first degree stochastic dominance using lower partial moments used in SD Efficient Set routine.

Usage

NNS.FSD.uni(x, y, type = "discrete")

Arguments

x: a numeric vector.
y: a numeric vector.
type: options: ("discrete", "continuous"); "discrete" (default) selects the type of CDF.

Value

Returns (1) if "X FSD Y", else (0).

References

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:10.4236/jmf.2016.61012

Viole, F. (2017) "A Note on Stochastic Dominance." doi:10.2139/ssrn.3002675

Author

Fred Viole, OVVO Financial Systems

Examples

if (FALSE) { # \dontrun{
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.FSD.uni(x, y)
} # }