Package org.drip.sample.samplestatistics

Class StandardUniformTStatistic

java.lang.Object
org.drip.sample.samplestatistics.StandardUniformTStatistic
public class StandardUniformTStatistic
extends java.lang.Object
StandardUniformTStatistic illustrates the Computation of the t-statistic, z-score, and other related Metrics of the Sample/Population Mean for an Empirical Standard Uniform Distribution.

  • 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
  • Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
  • Wikipedia (2018): t-statistic https://en.wikipedia.org/wiki/T-statistic
  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    StandardUniformTStatistic()  

  • 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

    • StandardUniformTStatistic

      public StandardUniformTStatistic()

  • 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