NNS SD Efficient Set — NNS.SD.efficient.set • NNS

Determines the set of stochastic dominant variables for various degrees.

Usage

NNS.SD.efficient.set(x, degree, type = "discrete", status = TRUE)

Arguments

x: a numeric matrix or data frame.
degree: numeric options: (1, 2, 3); Degree of stochastic dominance test from (1, 2 or 3).
type: options: ("discrete", "continuous"); "discrete" (default) selects the type of CDF.
status: logical; TRUE (default) Prints status update message in console.

Value

Returns set of stochastic dominant variable names.

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) ; z<-rnorm(100)
A <- cbind(x, y, z)
NNS.SD.efficient.set(A, 1)
} # }