Package org.drip.validation.distance

Class HypothesisSuite

java.lang.Object
org.drip.validation.distance.HypothesisSuite
public class HypothesisSuite
extends java.lang.Object
HypothesisSuite holds the Map of Hypotheses to be subjected to Discriminatory Power Analysis.

  • 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
    HypothesisSuite()
    Empty HypothesisSuite Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean add​(java.lang.String hypothesisID, Ensemble hypothesis)
    Add a Hypothesis to the Map
    boolean containsHypothesis​(java.lang.String hypothesisID)
    Indicate if the Hypothesis Specified by the ID is Avaliable
    Ensemble hypothesis​(java.lang.String hypothesisID)
    Retrieve the Hypothesis Specified by the ID
    java.util.Map<java.lang.String,​Ensemble> hypothesisMap()
    Retrieve the Hypothesis Map

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HypothesisSuite

      public HypothesisSuite()
      Empty HypothesisSuite Constructor

  • Method Details

    • hypothesisMap

      public java.util.Map<java.lang.String,​Ensemble> hypothesisMap()
      Retrieve the Hypothesis Map
      Returns:
      The Hypothesis Map

    • add

      public boolean add​(java.lang.String hypothesisID, Ensemble hypothesis)
      Add a Hypothesis to the Map
      Parameters:
      hypothesisID - The Hypothesis ID
      hypothesis - The Ensemble Hypothesis
      Returns:
      TRUE - The Hypothesis Successfully added

    • containsHypothesis

      public boolean containsHypothesis​(java.lang.String hypothesisID)
      Indicate if the Hypothesis Specified by the ID is Avaliable
      Parameters:
      hypothesisID - The Hypothesis ID
      Returns:
      TRUE - The Hypothesis Specified by the ID is Avaliable

    • hypothesis

      public Ensemble hypothesis​(java.lang.String hypothesisID)
      Retrieve the Hypothesis Specified by the ID
      Parameters:
      hypothesisID - The Hypothesis ID
      Returns:
      The Hypothesis Specified by the ID