Package org.drip.validation.hypothesis

Class SignificanceTestSetting

java.lang.Object
org.drip.validation.hypothesis.SignificanceTestSetting
public class SignificanceTestSetting
extends java.lang.Object
SignificanceTestSetting contains the Control Settings that determine the Success/Failure of the specified Statistical Hypothesis p-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




Author:
Lakshmi Krishnamurthy

  • Field Details

    • LEFT_TAIL_CHECK

      public static final int LEFT_TAIL_CHECK
      Left Tail Significance Test
      See Also:
      Constant Field Values

    • RIGHT_TAIL_CHECK

      public static final int RIGHT_TAIL_CHECK
      Right Tail Significance Test
      See Also:
      Constant Field Values

    • DOUBLE_TAIL_CHECK

      public static final int DOUBLE_TAIL_CHECK
      Double Tail Significance Test
      See Also:
      Constant Field Values

    • FISHER_1925_P_TEST_THRESHOLD

      public static final double FISHER_1925_P_TEST_THRESHOLD
      Fisher (1925) Significance Test Threshold
      See Also:
      Constant Field Values

    • ANFUSO_KARYAMPAS_NAWROTH_2017_P_TEST_THRESHOLD

      public static final double ANFUSO_KARYAMPAS_NAWROTH_2017_P_TEST_THRESHOLD
      Anfuso, Karyampas, and Nawroth (2017) Significance Test Threshold
      See Also:
      Constant Field Values

  • Constructor Details

    • SignificanceTestSetting

      public SignificanceTestSetting​(double threshold, int tailCheck) throws java.lang.Exception
      SignificanceTestSetting Constructor
      Parameters:
      threshold - The Test Threshold
      tailCheck - Test Tail Check Flag
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FisherRightTail

      public static final SignificanceTestSetting FisherRightTail()
      Construct Right Tail Check Significance Test Setting using the Fisher Threshold
      Returns:
      The Right Tail Check Significance Test Setting

    • FisherLeftTail

      public static final SignificanceTestSetting FisherLeftTail()
      Construct Left Tail Check Significance Test Setting using the Fisher Threshold
      Returns:
      The Left Tail Check Significance Test Setting

    • FisherDoubleTail

      public static final SignificanceTestSetting FisherDoubleTail()
      Construct Double Tail Check Significance Test Setting using the Fisher Threshold
      Returns:
      The Double Tail Check Significance Test Setting

    • tailCheck

      public int tailCheck()
      Retrieve the Test Tail Check
      Returns:
      The Test Tail Check

    • threshold

      public double threshold()
      Retrieve the Test Tail Threshold
      Returns:
      The Test Tail Threshold