Hi, I am interested in looking at cumulative density functions. If F(x) is a cumulative density of monthly fund returns over the interval of a to b, and I am interested in returns above and below a specified point r, then I would like to find the number that is made up of 1.(integral from r to b)(1-F(x))dx 2. (integral from a to r)(F(x)dx)
3. the ratio of #1/#2 above In financial literature this ratio has been called the Omega function. My first guess in obtaining this equation using R is to use the integrate function but I am have two problems: I. can I use a nonparametric density in the integrate function(how?), II. how can i get the ratio of #3 above as the integrate function gives the number plus the absolute error > integrate(dnorm,-4,1.96) 0.9749704 with absolute error < 2.1e-07 so using a ratio in #3 above i get the following error: : non-numeric argument to binary operator Thank you in advance. Sri Viswanath ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
