Package org.drip.sequence.functional

Class BoundedMultivariateRandom

java.lang.Object

org.drip.function.definition.RdToR1

org.drip.sequence.functional.MultivariateRandom

org.drip.sequence.functional.BoundedMultivariateRandom

Direct Known Subclasses:

EmpiricalPenaltySupremumEstimator, GlivenkoCantelliUniformDeviation, KernelDensityEstimationL1, LongestCommonSubsequence, OrientedPercolationFirstPassage

public abstract class BoundedMultivariateRandom
extends MultivariateRandom

BoundedMultivariateRandom contains the Implementation of the Bounded Objective Function dependent on Multivariate Random Variables.

• Module = Numerical Core Module
• Library = Statistical Learning Library
• Project = Sequence
• Package = Functional

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BoundedMultivariateRandom()

Method Summary

Modifier and Type	Method	Description
abstract double	targetVariateVarianceBound(int iTargetVariateIndex)	Retrieve the Maximal Agnostic Variance Bound over the Non-target Variate Space for the Target Variate

Methods inherited from class org.drip.sequence.functional.MultivariateRandom

conditionalTargetVariateMetrics, conditionalTargetVariateMetrics, ghostTargetVariateMetrics, ghostTargetVariateMetrics, ghostTargetVariateMetrics, unconditionalTargetVariateMetrics

Methods inherited from class org.drip.function.definition.RdToR1

conditionNumber, conditionNumberL2, conditionNumberLInfinity, conditionNumberLp, derivative, differential, dimension, evaluate, gradient, gradientModulus, gradientModulusFunction, hessian, integrate, jacobian, maxima, minima, ValidateInput

Methods inherited from class java.lang.Object

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

Constructor Details

BoundedMultivariateRandom

public BoundedMultivariateRandom()

Method Details

targetVariateVarianceBound

public abstract double targetVariateVarianceBound(int iTargetVariateIndex)
                                           throws java.lang.Exception

Retrieve the Maximal Agnostic Variance Bound over the Non-target Variate Space for the Target Variate

Parameters:

iTargetVariateIndex - The Index corresponding to the Variate on which the Bound is sought

Returns:

The Maximal Agnostic Bound over the Non-target Variate Space for the Target Variate

Throws:

java.lang.Exception - Thrown if the Inputs are invalid