CentralWilsonHilfertyMeasureEstimate.java

  1. package org.drip.sample.chisquaredistribution;

  3. import org.drip.measure.chisquare.R1CentralWilsonHilferty;
  4. import org.drip.numerical.common.FormatUtil;
  5. import org.drip.service.env.EnvManager;

  7. /*
  8.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  9.  */

  11. /*!
  12.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  14.  * 
  15.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  16.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  17.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  18.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  19.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  20.  *      and computational support.
  21.  *  
  22.  *      https://lakshmidrip.github.io/DROP/
  23.  *  
  24.  *  DROP is composed of three modules:
  25.  *  
  26.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  27.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  28.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  29.  * 
  30.  *  DROP Product Core implements libraries for the following:
  31.  *  - Fixed Income Analytics
  32.  *  - Loan Analytics
  33.  *  - Transaction Cost Analytics
  34.  * 
  35.  *  DROP Portfolio Core implements libraries for the following:
  36.  *  - Asset Allocation Analytics
  37.  *  - Asset Liability Management Analytics
  38.  *  - Capital Estimation Analytics
  39.  *  - Exposure Analytics
  40.  *  - Margin Analytics
  41.  *  - XVA Analytics
  42.  * 
  43.  *  DROP Computational Core implements libraries for the following:
  44.  *  - Algorithm Support
  45.  *  - Computation Support
  46.  *  - Function Analysis
  47.  *  - Model Validation
  48.  *  - Numerical Analysis
  49.  *  - Numerical Optimizer
  50.  *  - Spline Builder
  51.  *  - Statistical Learning
  52.  * 
  53.  *  Documentation for DROP is Spread Over:
  54.  * 
  55.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  56.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  57.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  58.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  59.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  60.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  61.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  62.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  63.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  64.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  65.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  66.  * 
  67.  *  Licensed under the Apache License, Version 2.0 (the "License");
  68.  *      you may not use this file except in compliance with the License.
  69.  *   
  70.  *  You may obtain a copy of the License at
  71.  *      http://www.apache.org/licenses/LICENSE-2.0
  72.  *  
  73.  *  Unless required by applicable law or agreed to in writing, software
  74.  *      distributed under the License is distributed on an "AS IS" BASIS,
  75.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  76.  *  
  77.  *  See the License for the specific language governing permissions and
  78.  *      limitations under the License.
  79.  */

  81. /**
  82.  * <i>CentralWilsonHilfertyMeasureEstimate</i> illustrates the Estimation of Measures for the Wilson-Hilferty
  83.  *  Transformation of a Central Chi-squared Distribution. The References are:
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li>
  88.  *          Abramowitz, M., and I. A. Stegun (2007): <i>Handbook of Mathematics Functions</i> <b>Dover Book
  89.  *              on Mathematics</b>
  90.  *      </li>
  91.  *      <li>
  92.  *          Backstrom, T., and J. Fischer (2018): Fast Randomization for Distributed Low Bit-rate Coding of
  93.  *              Speech and Audio <i>IEEE/ACM Transactions on Audio, Speech, and Language Processing</i> <b>26
  94.  *              (1)</b> 19-30
  95.  *      </li>
  96.  *      <li>
  97.  *          Chi-Squared Distribution (2019): Chi-Squared Function
  98.  *              https://en.wikipedia.org/wiki/Chi-squared_distribution
  99.  *      </li>
  100.  *      <li>
  101.  *          Johnson, N. L., S. Kotz, and N. Balakrishnan (1994): <i>Continuous Univariate Distributions
  102.  *              2<sup>nd</sup> Edition</i> <b>John Wiley and Sons</b>
  103.  *      </li>
  104.  *      <li>
  105.  *          National Institute of Standards and Technology (2019): Chi-Squared Distribution
  106.  *              https://www.itl.nist.gov/div898/handbook/eda/section3/eda3666.htm
  107.  *      </li>
  108.  *  </ul>
  109.  *
  110.  *  <br><br>
  111.  *  <ul>
  112.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  113.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  114.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  115.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/chisquaredistribution/README.md">Chi-Square Distribution Usage/Properties</a></li>
  116.  *  </ul>
  117.  *
  118.  * @author Lakshmi Krishnamurthy
  119.  */

  121. public class CentralWilsonHilfertyMeasureEstimate
  122. {

  124.     public static final void main (
  125.         final String[] argumentArray)
  126.         throws Exception
  127.     {
  128.         EnvManager.InitEnv ("");

  130.         int[] dofArray =
  131.         {
  132.              // 1,
  133.              2,
  134.              3,
  135.              4,
  136.              5,
  137.              6,
  138.              7,
  139.              8,
  140.              9,
  141.             10,
  142.             11,
  143.             12,
  144.             13,
  145.             14,
  146.             15,
  147.             16,
  148.             17,
  149.             18,
  150.             19,
  151.             20,
  152.             21,
  153.             22,
  154.             23,
  155.             24,
  156.             25,
  157.         };

  159.         System.out.println ("\t|----------------------------------------------------------------------------||");

  161.         System.out.println ("\t|               WILSON HILFERTY DISTRIBUTION MEASURES ESTIMATE               ||");

  163.         System.out.println ("\t|----------------------------------------------------------------------------||");

  165.         System.out.println ("\t|        L -> R:                                                             ||");

  167.         System.out.println ("\t|                - Degrees of Freedom                                        ||");

  169.         System.out.println ("\t|                - Mean                                                      ||");

  171.         System.out.println ("\t|                - Median                                                    ||");

  173.         System.out.println ("\t|                - Mode                                                      ||");

  175.         System.out.println ("\t|                - Variance                                                  ||");

  177.         System.out.println ("\t|----------------------------------------------------------------------------||");

  179.         for (int dof : dofArray)
  180.         {
  181.             R1CentralWilsonHilferty r1UnivariateWilsonHilferty = R1CentralWilsonHilferty.Standard (dof);

  183.             String display = "\t| [" + FormatUtil.FormatDouble (dof, 2, 0, 1., false) + "] =>";

  185.             display = display + " " + FormatUtil.FormatDouble (
  186.                 r1UnivariateWilsonHilferty.mean(), 1, 8, 1., false
  187.             ) + " | " + FormatUtil.FormatDouble (
  188.                 r1UnivariateWilsonHilferty.median(), 1, 8, 1., false
  189.             ) + " | " + FormatUtil.FormatDouble (
  190.                 r1UnivariateWilsonHilferty.mode(), 1, 8, 1., true
  191.             ) + " | " + FormatUtil.FormatDouble (
  192.                 r1UnivariateWilsonHilferty.variance(), 1, 8, 1., false
  193.             ) + " |";

  195.             System.out.println (display + "|");
  196.         }

  198.         System.out.println ("\t|----------------------------------------------------------------------------||");

  200.         EnvManager.TerminateEnv();
  201.     }
  202. }
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