Package org.drip.sample.distancetest

Class ExponentialCramersVonMisesGapDiscriminant

java.lang.Object
org.drip.sample.distancetest.ExponentialCramersVonMisesGapDiscriminant
public class ExponentialCramersVonMisesGapDiscriminant
extends java.lang.Object
ExponentialCramersVonMisesGapDiscriminant demonstrates the Generation of the Sample Distance Discriminant Metrics for Different Ensemble Hypotheses.

  • Reference Distribution - Univariate Exponential
  • Gap Loss Function - Anfuso, Karyampas, and Nawroth (2017)
  • Gap Loss Weight Function - Cramers and von Mises


  • Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for Back-testing Credit Exposure Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 eSSRN
  • Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
  • Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit Pricing, Palgrave Macmillan
  • Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ExponentialCramersVonMisesGapDiscriminant()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ExponentialCramersVonMisesGapDiscriminant

      public ExponentialCramersVonMisesGapDiscriminant()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation