org.drip.measure.bayesian

Class ProjectionDistributionLoading

java.lang.Object

org.drip.measure.bayesian.ProjectionDistributionLoading

public class ProjectionDistributionLoading
extends java.lang.Object

ProjectionDistributionLoading contains the Projection Distribution and its Loadings to the Scoping Distribution.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ProjectionDistributionLoading(R1Multivariate r1mDistribution, double[][] aadblScopingLoading) ProjectionDistributionLoading Constructor

Method Summary

Modifier and Type	Method and Description
R1Multivariate	distribution() Retrieve the Projection Distribution
static ProjectionDistributionLoading	FromConfidence(MultivariateMeta meta, double[] adblMean, double[][] aadblScopingCovariance, double[][] aadblScopingLoading, double dblTau) Generate the ProjectionDistributionLoading Instance from the Confidence Level
int	numberOfProjectionVariate() Retrieve the Number of the Projection Variates
int	numberOfScopingVariate() Retrieve the Number of the Scoping Variate
static double[][]	ProjectionCovariance(double[][] aadblScopingCovariance, double[][] aadblScopingLoading, double dblTau) Generate the Projection Co-variance Matrix from the Confidence Level
double[][]	scopingLoading() Retrieve the Matrix of the Scoping Loadings

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ProjectionDistributionLoading

public ProjectionDistributionLoading(R1Multivariate r1mDistribution,
                                     double[][] aadblScopingLoading)
                              throws java.lang.Exception

ProjectionDistributionLoading Constructor

Parameters:

r1mDistribution - The Projection Distribution Instance

aadblScopingLoading - The Projection-Scoping Variate Loadings

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

ProjectionCovariance

public static final double[][] ProjectionCovariance(double[][] aadblScopingCovariance,
                                                    double[][] aadblScopingLoading,
                                                    double dblTau)

Generate the Projection Co-variance Matrix from the Confidence Level

Parameters:

aadblScopingCovariance - The Scoping Co-variance Matrix

aadblScopingLoading - The Projection-Scoping Variate Loadings

dblTau - The Tau Parameter

Returns:

The Projection Co-variance Matrix

FromConfidence

public static final ProjectionDistributionLoading FromConfidence(MultivariateMeta meta,
                                                                 double[] adblMean,
                                                                 double[][] aadblScopingCovariance,
                                                                 double[][] aadblScopingLoading,
                                                                 double dblTau)

Generate the ProjectionDistributionLoading Instance from the Confidence Level

Parameters:

meta - The R^1 Multivariate Meta Headers

adblMean - Array of the Univariate Means

aadblScopingCovariance - The Scoping Co-variance Matrix

aadblScopingLoading - The Projection-Scoping Variate Loadings

dblTau - The Tau Parameter

Returns:

The ProjectionDistributionLoading Instance

distribution

public R1Multivariate distribution()

Retrieve the Projection Distribution

Returns:

The Projection Distribution

scopingLoading

public double[][] scopingLoading()

Retrieve the Matrix of the Scoping Loadings

Returns:

The Matrix of the Scoping Loadings

numberOfProjectionVariate

public int numberOfProjectionVariate()

Retrieve the Number of the Projection Variates

Returns:

The Number of the Projection Variates

numberOfScopingVariate

public int numberOfScopingVariate()

Retrieve the Number of the Scoping Variate

Returns:

The Number of the Scoping Variate