LPM.ratio {NNS}

Lower Partial Moment RATIO

Description

This function generates a standardized univariate lower partial moment for any degree or target.

Usage

LPM.ratio(degree, target, variable)

Arguments

degree

integer; (degree = 0) is frequency, (degree = 1) is area.

target

numeric; Typically set to mean, but does not have to be. (Vectorized)

variable

a numeric vector.

Value

Standardized LPM of variable

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

Viole, F. (2017) "Continuous CDFs and ANOVA with NNS" https://www.ssrn.com/abstract=3007373

Examples

set.seed(123)
x <- rnorm(100)
LPM.ratio(0, mean(x), x)

## Not run: 
## Empirical CDF (degree = 0)
lpm_cdf <- LPM.ratio(0, sort(x), x)
plot(sort(x), lpm_cdf)

## Continuous CDF (degree = 1)
lpm_cdf_1 <- LPM.ratio(1, sort(x), x)
plot(sort(x), lpm_cdf_1)

## Joint CDF
x <- rnorm(5000) ; y <- rnorm(5000)
plot3d(x, y, Co.LPM(0, sort(x), sort(y), x, y), col = "blue", xlab = "X", ylab = "Y",
zlab = "Probability", box = FALSE)

## End(Not run)