wtdpapb

Stochastic dominance is a sophisticated comparison of two distributions of
stock market returns. The dominating distribution is superior in terms of
mean, variance, skewness and kurtosis respectively, representing dominance
orders 1 to 4, without directly computing four moments. Vinod(2008) sec. 4.3
explains the details. The `wtdpapb' function creates the input
for stochdom2 which in turn computes the stochastic dominance.
See Vinod (2004) for details about quantitative stochastic dominance.

Function gmcmtx0() computes a more reliable (general)
correlation matrix. Since causal paths from data are important for all sciences, the
package provides many sophisticated functions. causeSummBlk() and causeSum2Blk()
give easy-to-interpret causal paths. Let Z denote control variables and compare
two flipped kernel regressions: X=f(Y, Z)+e1 and Y=g(X, Z)+e2. Our criterion Cr1
says that if |e1*Y|>|e2*X| then variation in X is more "exogenous or independent"
than in Y, and the causal path is X to Y. Criterion Cr2 requires |e2|<|e1|. These
inequalities between many absolute values are quantified by four orders of
stochastic dominance. Our third criterion Cr3, for the causal path X to Y,
requires new generalized partial correlations to satisfy |r*(x|y,z)|< |r*(y|x,z)|.
The function parcorVec() reports generalized partials between the first
variable and all others. The package provides several R functions including
get0outliers() for outlier detection, bigfp() for numerical integration by the
trapezoidal rule, stochdom2() for stochastic dominance, pillar3D() for 3D charts,
canonRho() for generalized canonical correlations, depMeas() measures nonlinear
dependence, and causeSummary(mtx) reports summary of causal paths among matrix
columns. Portfolio selection: decileVote(), momentVote(), dif4mtx(), exactSdMtx()
can rank several stocks. Functions whose names begin with 'boot' provide bootstrap
statistical inference, including a new bootGcRsq() test for "Granger-causality"
allowing nonlinear relations. A new tool for evaluation of out-of-sample
portfolio performance is outOFsamp(). Panel data implementation is now included.
See eight vignettes of the package for theory, examples, and
usage tips. See Vinod (2019) \doi{10.1080/03610918.2015.1122048}.

Hrishikesh Vinod

generalCorr

Generalized Correlations, Causal Paths and Portfolio Selection

wtdpapb function

<dl><dt>xa</dt>
<dd>Vector of (excess) returns for the first investment option A or
values of any random variable being compared to another.</dd>
<dt>xb</dt>
<dd>Vector of returns for the second option B</dd></dl>

Arguments

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

Author

Creates input for the stochastic dominance function stochdom2 — wtdpapb

<dl>

<dt>xa</dt>
<dd>Vector of (excess) returns for the first investment option A or
values of any random variable being compared to another.</dd>


<dt>xb</dt>
<dd>Vector of returns for the second option B</dd>

</dl>

wtdpapb: Creates input for the stochastic dominance function stochdom2

Description

Usage

Value

Arguments

Author

References

See Also

Examples