Package org.drip.validation.evidence

Class TestStatisticAccumulator

java.lang.Object
org.drip.validation.evidence.TestStatisticAccumulator
public class TestStatisticAccumulator
extends java.lang.Object
TestStatisticAccumulator contains the Instance Counts of the Sorted Test Statistic Values.

  • 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
    TestStatisticAccumulator()
    Empty TestStatisticAccumulator Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addTestStatistic​(double testStatistic)
    Add the specified Test Statistic Entry
    double cumulativeProbabilityFromLeft​(double testStatistic)
    Extract the Empirical Cumulative Test Statistic Probability from the Smallest Response Value
    double cumulativeProbabilityFromRight​(double testStatistic)
    Extract the Empirical Cumulative Test Statistic Probability from the Largest Response Value
    java.util.Map<java.lang.Double,​java.lang.Integer> instanceCountMap()
    Retrieve the Instance Counter Map
    ProbabilityIntegralTransform probabilityIntegralTransform()
    Perform a Probability Integral Transform to generate the Test Statistic CDF Distribution
    int totalInstanceCount()
    Retrieve the Total Response Instances Count

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TestStatisticAccumulator

      public TestStatisticAccumulator()
      Empty TestStatisticAccumulator Constructor

  • Method Details

    • instanceCountMap

      public java.util.Map<java.lang.Double,​java.lang.Integer> instanceCountMap()
      Retrieve the Instance Counter Map
      Returns:
      The Instance Counter Map

    • totalInstanceCount

      public int totalInstanceCount()
      Retrieve the Total Response Instances Count
      Returns:
      The Total Response Instances Count

    • addTestStatistic

      public boolean addTestStatistic​(double testStatistic)
      Add the specified Test Statistic Entry
      Parameters:
      testStatistic - The Test Statistic
      Returns:
      TRUE - The Test Statistic Entry successfully added

    • cumulativeProbabilityFromLeft

      public double cumulativeProbabilityFromLeft​(double testStatistic) throws java.lang.Exception
      Extract the Empirical Cumulative Test Statistic Probability from the Smallest Response Value
      Parameters:
      testStatistic - The Test Statistic
      Returns:
      The Empirical Cumulative Test Statistic Probability from the Smallest Response Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • cumulativeProbabilityFromRight

      public double cumulativeProbabilityFromRight​(double testStatistic) throws java.lang.Exception
      Extract the Empirical Cumulative Test Statistic Probability from the Largest Response Value
      Parameters:
      testStatistic - The Test Statistic
      Returns:
      The Empirical Cumulative Test Statistic Probability from the Largest Response Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • probabilityIntegralTransform

      public ProbabilityIntegralTransform probabilityIntegralTransform()
      Perform a Probability Integral Transform to generate the Test Statistic CDF Distribution
      Returns:
      The Test Statistic CDF Distribution