org.drip.sequence.metrics

Class BoundedSequenceAgnosticMetrics

java.lang.Object

org.drip.sequence.metrics.SingleSequenceAgnosticMetrics

org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics

Direct Known Subclasses:

UnitSequenceAgnosticMetrics

public class BoundedSequenceAgnosticMetrics
extends SingleSequenceAgnosticMetrics

BoundedSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Bounded Sequence.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
BoundedSequenceAgnosticMetrics(double[] adblSequence, R1 distPopulation, double dblSupport) BoundedSequenceAgnosticMetrics Constructor

Method Summary

Modifier and Type	Method and Description
PivotedDepartureBounds	bennettAverageBounds(double dblLevel) Estimate Mean Departure Bounds of the Average using the Bennett Inequality Bounds
PivotedDepartureBounds	bernsteinAverageBounds(double dblLevel) Estimate Mean Departure Bounds of the Average using the Bernstein Inequality Bounds
PivotedDepartureBounds	chernoffHoeffdingAverageBounds(double dblLevel) Estimate Mean Departure Bounds of the Average using the Chernoff-Hoeffding Bound
double	support() Retrieve the Random Sequence Support

Methods inherited from class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics

centralMomentBound, chebyshevAssociationBound, chebyshevBound, chebyshevCantelliBound, empiricalAnchorMoment, empiricalCentralMoment, empiricalExpectation, empiricalRawMoment, empiricalVariance, functionSequenceMetrics, isPositive, markovUpperProbabilityBound, populationDistribution, populationMean, populationVariance, sequence, weakLawAverageBounds

Methods inherited from class java.lang.Object

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

Constructor Detail

BoundedSequenceAgnosticMetrics

public BoundedSequenceAgnosticMetrics(double[] adblSequence,
                                      R1 distPopulation,
                                      double dblSupport)
                               throws java.lang.Exception

BoundedSequenceAgnosticMetrics Constructor

Parameters:

adblSequence - The Random Sequence

distPopulation - The Population Distribution

dblSupport - The Support of the Underlying Random Variable

Throws:

java.lang.Exception - Thrown if BoundedSequenceAgnosticMetrics cannot be constructed

Method Detail

support

public double support()

Retrieve the Random Sequence Support

Returns:

The Support Underlying the Random Sequence

chernoffHoeffdingAverageBounds

public PivotedDepartureBounds chernoffHoeffdingAverageBounds(double dblLevel)

Estimate Mean Departure Bounds of the Average using the Chernoff-Hoeffding Bound

Parameters:

dblLevel - The Level at which the Departure is sought

Returns:

The Mean Departure Bounds

bennettAverageBounds

public PivotedDepartureBounds bennettAverageBounds(double dblLevel)

Estimate Mean Departure Bounds of the Average using the Bennett Inequality Bounds

Parameters:

dblLevel - The Level at which the Departure is sought

Returns:

The Mean Departure Bounds

bernsteinAverageBounds

public PivotedDepartureBounds bernsteinAverageBounds(double dblLevel)

Estimate Mean Departure Bounds of the Average using the Bernstein Inequality Bounds

Parameters:

dblLevel - The Level at which the Departure is sought

Returns:

The Mean Departure Bounds