Package org.drip.validation.riskfactorsingle

Class DiscriminatoryPowerAnalyzer

java.lang.Object
org.drip.validation.riskfactorsingle.DiscriminatoryPowerAnalyzer
public class DiscriminatoryPowerAnalyzer
extends java.lang.Object
DiscriminatoryPowerAnalyzer implements the Discriminatory Power Analyzer for the given Sample across the One/More Hypothesis at a Single Event.

  • 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 Details

    • DiscriminatoryPowerAnalyzer

      public DiscriminatoryPowerAnalyzer​(ProbabilityIntegralTransform sampleProbabilityIntegralTransform, GapTestSetting gapTestSetting) throws java.lang.Exception
      DiscriminatoryPowerAnalyzer Constructor
      Parameters:
      sampleProbabilityIntegralTransform - Sample Probability Integral Transform
      gapTestSetting - The Distance Gap Test Setting
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromSample

      public static final DiscriminatoryPowerAnalyzer FromSample​(Sample sample, GapTestSetting gapTestSetting)
      Construct a DiscriminatoryPowerAnalyzer Instance from the Sample
      Parameters:
      sample - The Sample Instance
      gapTestSetting - The Distance Gap Test Setting
      Returns:
      The DiscriminatoryPowerAnalyzer Instance

    • sampleProbabilityIntegralTransform

      public ProbabilityIntegralTransform sampleProbabilityIntegralTransform()
      Retrieve the Sample Probability Integral Transform
      Returns:
      The Sample Probability Integral Transform

    • gapTestSetting

      public GapTestSetting gapTestSetting()
      Retrieve the Gap Test Setting
      Returns:
      The Gap Test Setting

    • gapTest

      public GapTestOutcome gapTest​(Ensemble hypothesis)
      Run the Gap Test for the Hypothesis
      Parameters:
      hypothesis - The Ensemble Hypothesis
      Returns:
      The Sample-Hypothesis Gap Test Outcome

    • hypothesisGapTest

      public HypothesisOutcomeSuite hypothesisGapTest​(HypothesisSuite hypothesisSuite)
      Generate the Gap Test Outcomes for the specified Hypothesis Suite
      Parameters:
      hypothesisSuite - The Hypothesis Suite
      Returns:
      The Suite of Gap Test Outcomes