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Description

Nonlinear Nonparametric Statistics.

Nonlinear nonparametric statistics using partial moments. Partial moments are the elements of variance and asymptotically approximate the area of f(x). These robust statistics provide the basis for nonlinear analysis while retaining linear equivalences. NNS offers: Numerical integration, Numerical differentiation, Clustering, Correlation, Dependence, Causal analysis, ANOVA, Regression, Classification, Seasonality, Autoregressive modeling, Normalization, Stochastic dominance and Advanced Monte Carlo sampling. All routines based on: Viole, F. and Nawrocki, D. (2013), Nonlinear Nonparametric Statistics: Using Partial Moments (ISBN: 1490523995).

packageversion Licence

NNS

Nonlinear nonparametric statistics using partial moments. Partial moments are the elements of variance and asymptotically approximate the area of f(x). These robust statistics provide the basis for nonlinear analysis while retaining linear equivalences.

NNS offers:

  • Numerical Integration & Numerical Differentiation
  • Partitional & Hierarchial Clustering
  • Nonlinear Correlation & Dependence
  • Causal Analysis
  • Nonlinear Regression & Classification
  • ANOVA
  • Seasonality & Autoregressive Modeling
  • Normalization
  • Stochastic Dominance
  • Advanced Monte Carlo Sampling

Companion R-package and datasets to:

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" (ISBN: 1490523995)

For a quantitative finance implementation of NNS, see OVVO Labs

Current Version

Current NNS CRAN version is CRAN_Status_Badge

Installation

NNS requires minimal R version. See https://cran.r-project.org/ or installr for upgrading to latest R release.

library(remotes); remotes::install_github('OVVO-Financial/NNS', ref = "NNS-Beta-Version")

or via CRAN

install.packages('NNS')

Examples

Please see https://github.com/OVVO-Financial/NNS/blob/NNS-Beta-Version/examples/index.md for basic partial moments equivalences, hands-on statistics, machine learning and econometrics examples.

Citation

@Manual{,
    title = {NNS: Nonlinear Nonparametric Statistics},
    author = {Fred Viole},
    year = {2016},
    note = {R package version 11.1},
    url = {https://CRAN.R-project.org/package=NNS},
  }

Thank you for your interest in NNS!

Metadata

Version

11.1

License

Unknown

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