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

  • Method Summary

    Modifier and Type Method 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 Details

    • 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 Details

    • 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