Package org.drip.validation.distance

Class GapLossWeightFunction

java.lang.Object
org.drip.validation.distance.GapLossWeightFunction
public abstract class GapLossWeightFunction
extends java.lang.Object
GapLossWeightFunction weighs the outcome of each Empirical Hypothesis Gap Loss.

  • 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
    GapLossWeightFunction()  

  • Method Summary

    Modifier and Type Method Description
    static GapLossWeightFunction AndersonDarling()
    Construct the Anderson-Darling Version of the Gap Loss Weight Function
    static GapLossWeightFunction CramersVonMises()
    Construct the Cramers-von Mises Version of the Gap Loss Weight Function
    abstract double weight​(double pValueHypothesis)
    Compute the Weight corresponding to the Hypothesis p-Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • GapLossWeightFunction

      public GapLossWeightFunction()

  • Method Details

    • CramersVonMises

      public static final GapLossWeightFunction CramersVonMises()
      Construct the Cramers-von Mises Version of the Gap Loss Weight Function
      Returns:
      The Cramers-von Mises Version of the Gap Loss Weight Function

    • AndersonDarling

      public static final GapLossWeightFunction AndersonDarling()
      Construct the Anderson-Darling Version of the Gap Loss Weight Function
      Returns:
      The Anderson-Darling Version of the Gap Loss Weight Function

    • weight

      public abstract double weight​(double pValueHypothesis) throws java.lang.Exception
      Compute the Weight corresponding to the Hypothesis p-Value
      Parameters:
      pValueHypothesis - The Hypothesis p-Value
      Returns:
      The Weight
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid