Co.LPM {NNS}

Co-Lower Partial Moment (Lower Left Quadrant 4)

Description

This function generates a co-lower partial moment for between two equal length variables for any degree or target.

Usage

Co.LPM(degree_lpm, x, y, target_x, target_y)

Arguments

degree_lpm

integer; Degree for lower deviations of both variable X and Y. (degree_lpm = 0) is frequency, (degree_lpm = 1) is area.

x

a numeric vector. data.frame or list type objects are not permissible.

y

a numeric vector of equal length to x. data.frame or list type objects are not permissible.

target_x

numeric; Target for lower deviations of variable X. Typically the mean of Variable X for classical statistics equivalences, but does not have to be.

target_y

numeric; Target for lower deviations of variable Y. Typically the mean of Variable Y for classical statistics equivalences, but does not have to be.

Value

Co-LPM of two variables

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
Co.LPM(0, x, y, mean(x), mean(y))