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

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d 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(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Asset Space Projection Co-variance
static R1MultivariateConvolutionMetrics	GenerateComposite(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection1, java.lang.String strProjection2, R1MultivariateNormal r1mnUnconditional)	Generate the Combined R^1 Multivariate Normal Distribution from the SPVD and the Named Projections
static R1MultivariateConvolutionMetrics	GenerateComposite(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection, R1MultivariateNormal r1mnUnconditional)	Generate the Combined R^1 Multivariate Normal Distribution from the SPVD, the NATIVE Projection, and the Named Projection
static R1MultivariateConvolutionMetrics	GenerateComposite(MultivariateMeta meta, ProjectionDistributionLoading pdl1, ProjectionDistributionLoading pdl2, R1MultivariateNormal r1mnUnconditional)	Generate the Joint Mixed Estimation Model Joint/Posterior Metrics
static double[]	ProjectionInducedScopingDeviation(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Projection Induced Scoping Mean Deviation
static R1MultivariateNormal	ProjectionInducedScopingDistribution(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection, R1MultivariateNormal r1mnUnconditional)	Compute the Projection Induced Scoping Deviation Adjusted Mean
static double[]	ProjectionInducedScopingMean(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Projection Induced Scoping Deviation Adjusted Mean
static double[]	ProjectionPrecisionMeanProduct(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Projection Precision Mean Dot Product Array
static double[][]	ProjectionSpaceAssetCovariance(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Projection Space Asset Co-variance
static Covariance	ProjectionSpaceScopingCovariance(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Generate the Projection Space Scoping Co-variance
static double[]	ProjectionSpaceScopingDifferential(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Generate the Projection Space Projection-Scoping Mean Differential
static double[]	ProjectionSpaceScopingMean(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Generate the Projection Space Scoping Mean
static double[][]	ShadowScopingProjection(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	Compute the Shadow of the Scoping on Projection
static double[][]	ShadowScopingProjectionTranspose(ScopingProjectionVariateDistribution spvd, java.lang.String strProjection)	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(MultivariateMeta meta,
ProjectionDistributionLoading pdl1,
ProjectionDistributionLoading pdl2,
R1MultivariateNormal r1mnUnconditional)

Generate the Joint Mixed Estimation Model Joint/Posterior Metrics

Parameters:

meta - The R^1 Multivariate Meta Descriptors

pdl1 - Projection Distribution and Loading #1

pdl2 - Projection Distribution and Loading #2

r1mnUnconditional - The R^1 Multivariate Normal Unconditional Distribution

Returns:

The Joint Mixed Estimation Model Joint/Posterior Metrics

GenerateComposite

public static final R1MultivariateConvolutionMetrics GenerateComposite(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection1,
java.lang.String strProjection2,
R1MultivariateNormal r1mnUnconditional)

Generate the Combined R^1 Multivariate Normal Distribution from the SPVD and the Named Projections

Parameters:

spvd - The Scoping/Projection Distribution

strProjection1 - Name of Projection #1

strProjection2 - Name of Projection #2

r1mnUnconditional - The R^1 Multivariate Normal Unconditional Distribution

Returns:

The Combined R^1 Multivariate Normal Distribution

GenerateComposite

public static final R1MultivariateConvolutionMetrics GenerateComposite(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection,
R1MultivariateNormal r1mnUnconditional)

Generate the Combined R^1 Multivariate Normal Distribution from the SPVD, the NATIVE Projection, and the Named Projection

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

r1mnUnconditional - The R^1 Multivariate Normal Unconditional Distribution

Returns:

The Combined R^1 Multivariate Normal Distribution

ProjectionSpaceScopingMean

public static final double[] ProjectionSpaceScopingMean(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Generate the Projection Space Scoping Mean

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Space Scoping Mean

ProjectionSpaceScopingDifferential

public static final double[] ProjectionSpaceScopingDifferential(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Generate the Projection Space Projection-Scoping Mean Differential

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Space Projection-Scoping Mean Differential

ProjectionSpaceScopingCovariance

public static final Covariance ProjectionSpaceScopingCovariance(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Generate the Projection Space Scoping Co-variance

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Space Scoping Co-variance

ShadowScopingProjectionTranspose

public static final double[][] ShadowScopingProjectionTranspose(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Shadow of the Scoping on Projection Transpose

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Shadow of the Scoping on Projection Transpose

ShadowScopingProjection

public static final double[][] ShadowScopingProjection(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Shadow of the Scoping on Projection

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Shadow of the Scoping on Projection

ProjectionPrecisionMeanProduct

public static final double[] ProjectionPrecisionMeanProduct(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Projection Precision Mean Dot Product Array

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Precision Mean Dot Product Array

ProjectionInducedScopingDeviation

public static final double[] ProjectionInducedScopingDeviation(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Projection Induced Scoping Mean Deviation

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Induced Scoping Mean Deviation

ProjectionInducedScopingMean

public static final double[] ProjectionInducedScopingMean(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Projection Induced Scoping Deviation Adjusted Mean

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Induced Scoping Deviation Adjusted Mean

AssetSpaceProjectionCovariance

public static final double[][] AssetSpaceProjectionCovariance(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Asset Space Projection Co-variance

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Asset Space Projection Co-variance

ProjectionSpaceAssetCovariance

public static final double[][] ProjectionSpaceAssetCovariance(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection)

Compute the Projection Space Asset Co-variance

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

Returns:

The Projection Space Asset Co-variance

ProjectionInducedScopingDistribution

public static final R1MultivariateNormal ProjectionInducedScopingDistribution(ScopingProjectionVariateDistribution spvd,
java.lang.String strProjection,
R1MultivariateNormal r1mnUnconditional)

Compute the Projection Induced Scoping Deviation Adjusted Mean

Parameters:

spvd - The Scoping/Projection Distribution

strProjection - Name of Projection

r1mnUnconditional - The Unconditional Distribution

Returns:

The Projection Induced Scoping Deviation Adjusted Mean