Package org.drip.measure.bayesian

Class TheilMixedEstimationModel

java.lang.Object

org.drip.measure.bayesian.TheilMixedEstimationModel

public class TheilMixedEstimationModel
extends java.lang.Object

TheilMixedEstimationModel implements the Theil's Mixed Model for the Estimation of the Distribution Parameters. The Reference is:

• Theil, H. (1971): Principles of Econometrics Wiley

It provides the following Functionality:

• Generate the Joint Mixed Estimation Model Joint/Posterior Metrics
• Generate the Combined R¹ Multivariate Normal Distribution from the Scoping Container and the Named Views
• Generate the Combined R¹ Multivariate Normal Distribution from the Scoping Container, the NATIVE Projection, and the Named View
• Generate the Projection Space Scoping Mean
• Generate the Projection Space Projection-Scoping Mean Differential
• Generate the Projection Space Scoping Co-variance
• Compute the Shadow of the Scoping on Projection Transpose
• Compute the Shadow of the Scoping on Projection
• Compute the Projection Precision Mean Dot Product Array
• Compute the Projection Induced Scoping Mean Deviation
• Compute the Projection Induced Scoping Deviation Adjusted Mean
• Compute the Asset Space Projection Co-variance
• Compute the Projection Space Asset Co-variance
• Compute the Projection Induced Scoping Deviation Adjusted Mean

Module	Computational Core Module
Library	Numerical Analysis Library
Project	Rd Continuous/Discrete Probability Measures
Package	Prior, Conditional, Posterior Theil Bayesian

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TheilMixedEstimationModel()

Method Summary

Modifier and Type	Method	Description
static double[][]	AssetSpaceProjectionCovariance(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Asset Space Projection Co-variance
static R1MultivariateConvolutionMetrics	GenerateComposite(ScopingContainer scopingContainer, java.lang.String viewName1, java.lang.String viewName2, R1MultivariateNormal unconditionalDistribution)	Generate the Combined R1 Multivariate Normal Distribution from the Scoping Container and the Named Views
static R1MultivariateConvolutionMetrics	GenerateComposite(ScopingContainer scopingContainer, java.lang.String viewName, R1MultivariateNormal unconditionalDistribution)	Generate the Combined R1 Multivariate Normal Distribution from the Scoping Container, the NATIVE Projection, and the Named View
static R1MultivariateConvolutionMetrics	GenerateComposite(LabelledRd multivariateMeta, ViewLoading viewLoading1, ViewLoading viewLoading2, R1MultivariateNormal unconditionalDistribution)	Generate the Joint Mixed Estimation Model Joint/Posterior Metrics
static double[]	ProjectionInducedScopingDeviation(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Projection Induced Scoping Mean Deviation
static R1MultivariateNormal	ProjectionInducedScopingDistribution(ScopingContainer scopingContainer, java.lang.String viewName, R1MultivariateNormal unconditionalDistribution)	Compute the Projection Induced Scoping Deviation Adjusted Mean
static double[]	ProjectionInducedScopingMean(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Projection Induced Scoping Deviation Adjusted Mean
static double[]	ProjectionPrecisionMeanProduct(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Projection Precision Mean Dot Product Array
static double[][]	ProjectionSpaceAssetCovariance(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Projection Space Asset Co-variance
static JointVariance	ProjectionSpaceScopingCovariance(ScopingContainer scopingContainer, java.lang.String viewName)	Generate the Projection Space Scoping Co-variance
static double[]	ProjectionSpaceScopingDifferential(ScopingContainer scopingContainer, java.lang.String viewName)	Generate the Projection Space Projection-Scoping Mean Differential
static double[]	ProjectionSpaceScopingMean(ScopingContainer scopingContainer, java.lang.String viewName)	Generate the Projection Space Scoping Mean
static double[][]	ShadowScopingProjection(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Shadow of the Scoping on Projection
static double[][]	ShadowScopingProjectionTranspose(ScopingContainer scopingContainer, java.lang.String viewName)	Compute the Shadow of the Scoping on Projection Transpose

Methods inherited from class java.lang.Object

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

Constructor Details

TheilMixedEstimationModel

public TheilMixedEstimationModel()

Method Details

GenerateComposite

public static final R1MultivariateConvolutionMetrics GenerateComposite(LabelledRd multivariateMeta,
ViewLoading viewLoading1,
ViewLoading viewLoading2,
R1MultivariateNormal unconditionalDistribution)

Generate the Joint Mixed Estimation Model Joint/Posterior Metrics

Parameters:

multivariateMeta - The R¹ Multivariate Meta Descriptors

viewLoading1 - View Loading #1

viewLoading2 - View Loading #2

unconditionalDistribution - The R¹ Multivariate Normal Unconditional Distribution

Returns:

The Joint Mixed Estimation Model Joint/Posterior Metrics

GenerateComposite

public static final R1MultivariateConvolutionMetrics GenerateComposite(ScopingContainer scopingContainer,
java.lang.String viewName1,
java.lang.String viewName2,
R1MultivariateNormal unconditionalDistribution)

Generate the Combined R¹ Multivariate Normal Distribution from the Scoping Container and the Named Views

Parameters:

scopingContainer - The Scoping Container

viewName1 - Name of Projection #1

viewName2 - Name of Projection #2

unconditionalDistribution - The R¹ Multivariate Normal Unconditional Distribution

Returns:

The Combined R¹ Multivariate Normal Distribution

GenerateComposite

public static final R1MultivariateConvolutionMetrics GenerateComposite(ScopingContainer scopingContainer,
java.lang.String viewName,
R1MultivariateNormal unconditionalDistribution)

Generate the Combined R¹ Multivariate Normal Distribution from the Scoping Container, the NATIVE Projection, and the Named View

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of View

unconditionalDistribution - The R¹ Multivariate Normal Unconditional Distribution

Returns:

The Combined R¹ Multivariate Normal Distribution

ProjectionSpaceScopingMean

public static final double[] ProjectionSpaceScopingMean(ScopingContainer scopingContainer,
java.lang.String viewName)

Generate the Projection Space Scoping Mean

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Space Scoping Mean

ProjectionSpaceScopingDifferential

public static final double[] ProjectionSpaceScopingDifferential(ScopingContainer scopingContainer,
java.lang.String viewName)

Generate the Projection Space Projection-Scoping Mean Differential

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Space Projection-Scoping Mean Differential

ProjectionSpaceScopingCovariance

public static final JointVariance ProjectionSpaceScopingCovariance(ScopingContainer scopingContainer,
java.lang.String viewName)

Generate the Projection Space Scoping Co-variance

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Space Scoping Co-variance

ShadowScopingProjectionTranspose

public static final double[][] ShadowScopingProjectionTranspose(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Shadow of the Scoping on Projection Transpose

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of View

Returns:

The Shadow of the Scoping on Projection Transpose

ShadowScopingProjection

public static final double[][] ShadowScopingProjection(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Shadow of the Scoping on Projection

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Shadow of the Scoping on Projection

ProjectionPrecisionMeanProduct

public static final double[] ProjectionPrecisionMeanProduct(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Projection Precision Mean Dot Product Array

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Precision Mean Dot Product Array

ProjectionInducedScopingDeviation

public static final double[] ProjectionInducedScopingDeviation(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Projection Induced Scoping Mean Deviation

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Induced Scoping Mean Deviation

ProjectionInducedScopingMean

public static final double[] ProjectionInducedScopingMean(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Projection Induced Scoping Deviation Adjusted Mean

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of the View

Returns:

The Projection Induced Scoping Deviation Adjusted Mean

AssetSpaceProjectionCovariance

public static final double[][] AssetSpaceProjectionCovariance(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Asset Space Projection Co-variance

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of then View

Returns:

The Asset Space Projection Co-variance

ProjectionSpaceAssetCovariance

public static final double[][] ProjectionSpaceAssetCovariance(ScopingContainer scopingContainer,
java.lang.String viewName)

Compute the Projection Space Asset Co-variance

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of then View

Returns:

The Projection Space Asset Co-variance

ProjectionInducedScopingDistribution

public static final R1MultivariateNormal ProjectionInducedScopingDistribution(ScopingContainer scopingContainer,
java.lang.String viewName,
R1MultivariateNormal unconditionalDistribution)

Compute the Projection Induced Scoping Deviation Adjusted Mean

Parameters:

scopingContainer - The Scoping/Projection Distribution

viewName - Name of then View

unconditionalDistribution - The Unconditional Distribution

Returns:

The Projection Induced Scoping Deviation Adjusted Mean