Package org.drip.validation.riskfactorsingle

Class DiscriminatoryPowerAnalyzerAggregate

java.lang.Object

org.drip.validation.riskfactorsingle.DiscriminatoryPowerAnalyzerAggregate

public class DiscriminatoryPowerAnalyzerAggregate
extends java.lang.Object

DiscriminatoryPowerAnalyzerAggregate implements the Discriminatory Power Analyzer for the given Sample across the One/More Hypothesis and Multiple Events.

• 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 = Single Risk Factor Aggregate Tests

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DiscriminatoryPowerAnalyzerAggregate(java.util.Map<java.lang.String,ProbabilityIntegralTransform> eventSamplePITMap, GapTestSetting gapTestSetting, EventAggregationWeightFunction eventAggregationWeightFunction)	DiscriminatoryPowerAnalyzerAggregate Constructor

Method Summary

Modifier and Type	Method	Description
EventAggregationWeightFunction	eventAggregationWeightFunction()	Retrieve the Event Aggregation Weight Function
java.util.Map<java.lang.String,ProbabilityIntegralTransform>	eventSamplePITMap()	Retrieve the Event Sample PIT Map
GapTestSetting	gapTestSetting()	Retrieve the Gap Test Setting
HypothesisOutcomeSuiteAggregate	hypothesisGapTest(HypothesisSuiteAggregate hypothesisSuiteAggregate)	Generate the Hypotheses Outcome Suite Aggregate for the specified Hypothesis Suite Aggregate

Methods inherited from class java.lang.Object

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

Constructor Details

DiscriminatoryPowerAnalyzerAggregate

public DiscriminatoryPowerAnalyzerAggregate(java.util.Map<java.lang.String,ProbabilityIntegralTransform> eventSamplePITMap,
GapTestSetting gapTestSetting,
EventAggregationWeightFunction eventAggregationWeightFunction)
                                     throws java.lang.Exception

DiscriminatoryPowerAnalyzerAggregate Constructor

Parameters:

eventSamplePITMap - Event Sample PIT Map

gapTestSetting - The Distance Gap Test Setting

eventAggregationWeightFunction - Event Aggregation Weight Function

Throws:

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

Method Details

gapTestSetting

public GapTestSetting gapTestSetting()

Retrieve the Gap Test Setting

Returns:

The Gap Test Setting

eventAggregationWeightFunction

public EventAggregationWeightFunction eventAggregationWeightFunction()

Retrieve the Event Aggregation Weight Function

Returns:

The Event Aggregation Weight Function

eventSamplePITMap

public java.util.Map<java.lang.String,ProbabilityIntegralTransform> eventSamplePITMap()

Retrieve the Event Sample PIT Map

Returns:

The Event Sample PIT Map

hypothesisGapTest

public HypothesisOutcomeSuiteAggregate hypothesisGapTest(HypothesisSuiteAggregate hypothesisSuiteAggregate)

Generate the Hypotheses Outcome Suite Aggregate for the specified Hypothesis Suite Aggregate

Parameters:

hypothesisSuiteAggregate - The Hypothesis Suite Aggregate

Returns:

The Suite of Gap Test Outcomes