# Getting Started with NNS: Partial Moments

#### Fred Viole

# Partial Moments

Why is it necessary to parse the variance with partial moments? The additional information generated from partial moments permits a level of analysis simply not possible with traditional summary statistics.

Below are some basic equivalences demonstrating partial moments role as the elements of variance.

## Mean

    library(NNS)
    set.seed(123) ; x = rnorm(100) ; y = rnorm(100)

    mean(x)

    ## [1] 0.09040591

    UPM(1, 0, x) - LPM(1, 0, x)

    ## [1] 0.09040591

## Variance

    # Sample Variance (base R):
    var(x)

    ## [1] 0.8332328

    # Sample Variance:
    (UPM(2, mean(x), x) + LPM(2, mean(x), x)) * (length(x) / (length(x) - 1))

    ## [1] 0.8332328

    # Population Adjustment of Sample Variance (base R):
    var(x) * ((length(x) - 1) / length(x))

    ## [1] 0.8249005

    # Population Variance:
    UPM(2, mean(x), x) + LPM(2, mean(x), x)

    ## [1] 0.8249005

    # Variance is also the co-variance of itself:
    (Co.LPM(1, x, x, mean(x), mean(x)) + Co.UPM(1, x, x, mean(x), mean(x)) - D.LPM(1, 1, x, x, mean(x), mean(x)) - D.UPM(1, 1, x, x, mean(x), mean(x)))

    ## [1] 0.8249005

## Standard Deviation

    sd(x)

    ## [1] 0.9128159

    ((UPM(2, mean(x), x) + LPM(2, mean(x), x)) * (length(x) / (length(x) - 1))) ^ .5

    ## [1] 0.9128159

## First 4 Moments

The first 4 moments are returned with the function `NNS.moments`. For sample statistics, set `population = FALSE`.

    NNS.moments(x)

    ## $mean
    ## [1] 0.09040591
    ##
    ## $variance
    ## [1] 0.8249005
    ##
    ## $skewness
    ## [1] 0.06049948
    ##
    ## $kurtosis
    ## [1] -0.161053

    NNS.moments(x, population = FALSE)

    ## $mean
    ## [1] 0.09040591
    ##
    ## $variance
    ## [1] 0.8332328
    ##
    ## $skewness
    ## [1] 0.06235774
    ##
    ## $kurtosis
    ## [1] -0.1069186

## Statistical Mode of a Continuous Distribution

`NNS.mode` offers support for discrete valued distributions as well as recognizing multiple modes.

    # Continuous
    NNS.mode(x)

    ## [1] -0.4132834

    # Discrete and multiple modes
    NNS.mode(c(1, 2, 2, 3, 3, 4, 4, 5), discrete = TRUE, multi = TRUE)

    ## [1] 2 3 4

## Covariance

    cov(x, y)

    ## [1] -0.04372107

    (Co.LPM(1, x, y, mean(x), mean(y)) + Co.UPM(1, x, y, mean(x), mean(y)) - D.LPM(1, 1, x, y, mean(x), mean(y)) - D.UPM(1, 1, x, y, mean(x), mean(y))) * (length(x) / (length(x) - 1))

    ## [1] -0.04372107

## Covariance Elements and Covariance Matrix

The covariance matrix \((\Sigma)\) is equal to the sum of the co-partial moments matrices less the divergent partial moments matrices. \[ \Sigma = CLPM + CUPM - DLPM - DUPM \]

    cov.mtx = PM.matrix(LPM_degree = 1, UPM_degree = 1, target = 'mean', variable = cbind(x, y), pop_adj = TRUE)
    cov.mtx

    ## $cupm
    ##           x         y
    ## x 0.4299250 0.1033601
    ## y 0.1033601 0.5411626
    ##
    ## $dupm
    ##           x         y
    ## x 0.0000000 0.1469182
    ## y 0.1560924 0.0000000
    ##
    ## $dlpm
    ##           x         y
    ## x 0.0000000 0.1560924
    ## y 0.1469182 0.0000000
    ##
    ## $clpm
    ##           x         y
    ## x 0.4033078 0.1559295
    ## y 0.1559295 0.3939005
    ##
    ## $cov.matrix
    ##             x           y
    ## x  0.83323283 -0.04372107
    ## y -0.04372107  0.93506310

    # Reassembled Covariance Matrix
    cov.mtx$clpm + cov.mtx$cupm - cov.mtx$dlpm - cov.mtx$dupm

    ##             x           y
    ## x  0.83323283 -0.04372107
    ## y -0.04372107  0.93506310

    # Standard Covariance Matrix
    cov(cbind(x, y))

    ##             x           y
    ## x  0.83323283 -0.04372107
    ## y -0.04372107  0.93506310

## Pearson Correlation

    cor(x, y)

    ## [1] -0.04953215

    cov.xy = (Co.LPM(1, x, y, mean(x), mean(y)) + Co.UPM(1, x, y, mean(x), mean(y)) - D.LPM(1, 1, x, y, mean(x), mean(y)) - D.UPM(1, 1, x, y, mean(x), mean(y))) * (length(x) / (length(x) - 1))
    sd.x = ((UPM(2, mean(x), x) + LPM(2, mean(x), x)) * (length(x) / (length(x) - 1))) ^ .5
    sd.y = ((UPM(2, mean(y), y) + LPM(2, mean(y) , y)) * (length(y) / (length(y) - 1))) ^ .5
    cov.xy / (sd.x * sd.y)

    ## [1] -0.04953215

## CDFs (Discrete and Continuous)

    P = ecdf(x)
    P(0) ; P(1)
    LPM(0, 0, x) ; LPM(0, 1, x)

    # Vectorized targets:
    LPM(0, c(0, 1), x)

    plot(ecdf(x))
    points(sort(x), LPM(0, sort(x), x), col = "red")
    legend("left", legend = c("ecdf", "LPM.CDF"), fill = c("black", "red"), border = NA, bty = "n")

    # Joint CDF:
    Co.LPM(0, x, y, 0, 0)

    # Vectorized targets:
    Co.LPM(0, x, y, c(0, 1), c(0, 1))

    # Copula
    # Transform x and y so that they are uniform
    u_x = LPM.ratio(0, x, x)
    u_y = LPM.ratio(0, y, y)

    # Value of copula at c(.5, .5)
    Co.LPM(0, u_x, u_y, .5, .5)

    # Continuous CDF:
    NNS.CDF(x, 1)

    # CDF with target:
    NNS.CDF(x, 1, target = mean(x))

    # Survival Function:
    NNS.CDF(x, 1, type = "survival")

## Numerical Integration

Partial moments are asymptotic area approximations of \(f(x)\) akin to the familiar Trapezoidal and Simpson’s rules. More observations, more accuracy…

\[[UPM(1,0,f(x))-LPM(1,0,f(x))]\asymp\frac{[F(b)-F(a)]}{[b-a]}\] \[[UPM(1,0,f(x))-LPM(1,0,f(x))] *[b-a] \asymp[F(b)-F(a)]\]

    x = seq(0, 1, .001) ; y = x ^ 2
    (UPM(1, 0, y) - LPM(1, 0, y)) * (1 - 0)

    ## [1] 0.3335

\[0.3333 * [1-0] = \int_{0}^{1} x^2 dx\] For the total area, not just the definite integral, simply sum the partial moments and multiply by \([b - a]\): \[[UPM(1,0,f(x))+LPM(1,0,f(x))] *[b-a]\asymp\left\lvert{\int_{a}^{b} f(x)dx}\right\rvert\]

## Bayes’ Theorem

For example, when ascertaining the probability of an increase in \(A\) given an increase in \(B\), the `Co.UPM(degree_upm, x, y, target_x, target_y)` target parameters are set to `target_x = 0` and `target_y = 0` and the `UPM(degree, target, variable)` target parameter is also set to `target = 0`.

\[P(A|B)=\frac{Co.UPM(0,A,B,0,0)}{UPM(0,0,B)}\]

# References

If the user is so motivated, detailed arguments and proofs are provided within the following:

- Nonlinear Nonparametric Statistics: Using Partial Moments

- Partial Moments as a Unifying Primitive: Distributional Structure, Benchmark-Relative Utility, Adaptive Estimation, and Learned Neural Nonlinearities

- Cumulative Distribution Functions and UPM/LPM Analysis

- Continuous CDFs and ANOVA with NNS

- f(Newton)

- Bayes’ Theorem From Partial Moments