Package org.drip.validation.hypothesis

Class HistogramTestSetting

java.lang.Object

org.drip.validation.hypothesis.HistogramTestSetting

public class HistogramTestSetting
extends java.lang.Object

HistogramTestSetting holds the Settings required to conduct a Histogram Test.

• 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

• Module = Computational Core Module
• Library = Model Validation Analytics Library
• Project = Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing
• Package = Statistical Hypothesis Validation Test Suite

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
HistogramTestSetting(PlottingPositionGenerator plottingPositionGenerator, double pValueThreshold)	HistogramTestSetting Constructor

Method Summary

Modifier and Type	Method	Description
static HistogramTestSetting	AnfusoKaryampasNawroth2017(PlottingPositionGenerator plottingPositionGenerator)	Construct the Anfuso Karyampas Nawroth (2017) Instance of the Histogram Test Setting
PlottingPositionGenerator	plottingPositionGenerator()	Retrieve the Plotting Position Generator
double	pValueThreshold()	Retrieve the Histogram Test p-Value Threshold

Methods inherited from class java.lang.Object

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

Constructor Details

HistogramTestSetting

public HistogramTestSetting(PlottingPositionGenerator plottingPositionGenerator,
double pValueThreshold)
                     throws java.lang.Exception

HistogramTestSetting Constructor

Parameters:

plottingPositionGenerator - The Plotting Position Generator

pValueThreshold - Histogram Test p-Value Threshold

Throws:

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

Method Details

AnfusoKaryampasNawroth2017

public static final HistogramTestSetting AnfusoKaryampasNawroth2017(PlottingPositionGenerator plottingPositionGenerator)

Construct the Anfuso Karyampas Nawroth (2017) Instance of the Histogram Test Setting

Parameters:

plottingPositionGenerator - The Plotting Position Generator

Returns:

The Anfuso Karyampas Nawroth (2017) Instance of the Histogram Test Setting

plottingPositionGenerator

public PlottingPositionGenerator plottingPositionGenerator()

Retrieve the Plotting Position Generator

Returns:

The Plotting Position Generator

pValueThreshold

public double pValueThreshold()

Retrieve the Histogram Test p-Value Threshold

Returns:

The Histogram Test p-Value Threshold