Ensemble.java

  1. package org.drip.validation.evidence;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * 
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  * 
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  * 
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  * 
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  * 
  49.  *  Documentation for DROP is Spread Over:
  50.  * 
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  * 
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *   
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  77. /**
  78.  * <i>Ensemble</i> contains the Ensemble Collection of Statistical Samples and their Test Statistic
  79.  * Evaluators.
  80.  *
  81.  *  <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Bhattacharya, B., and D. Habtzghi (2002): Median of the p-value under the Alternate Hypothesis
  85.  *              <i>American Statistician</i> <b>56 (3)</b> 202-206
  86.  *      </li>
  87.  *      <li>
  88.  *          Head, M. L., L. Holman, R, Lanfear, A. T. Kahn, and M. D. Jennions (2015): The Extent and
  89.  *              <i>Consequences of p-Hacking in Science PLoS Biology</i> <b>13 (3)</b> e1002106
  90.  *      </li>
  91.  *      <li>
  92.  *          Wasserstein, R. L., and N. A. Lazar (2016): The ASA’s Statement on p-values: Context, Process,
  93.  *              and Purpose <i>American Statistician</i> <b>70 (2)</b> 129-133
  94.  *      </li>
  95.  *      <li>
  96.  *          Wetzels, R., D. Matzke, M. D. Lee, J. N. Rouder, G, J, Iverson, and E. J. Wagenmakers (2011):
  97.  *              Statistical Evidence in Experimental Psychology: An Empirical Comparison using 855 t-Tests
  98.  *              <i>Perspectives in Psychological Science</i> <b>6 (3)</b> 291-298
  99.  *      </li>
  100.  *      <li>
  101.  *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  109.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/README.md">Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing</a></li>
  110.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/evidence/README.md">Sample and Ensemble Evidence Processors</a></li>
  111.  *  </ul>
  112.  * <br><br>
  113.  *
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class Ensemble implements org.drip.validation.evidence.NativePITGenerator
  118. {
  119.     private double[][] _evaluatedSampleTestStatistic = null;
  120.     private org.drip.validation.evidence.Sample[] _sampleArray = null;
  121.     private org.drip.validation.evidence.TestStatisticEvaluator[] _testStatisticEvaluatorArray =
  122.         null;
  123.     private org.drip.validation.hypothesis.ProbabilityIntegralTransform[] _probabilityIntegralTransformArray
  124.         = null;

  126.     /**
  127.      * Ensemble Constructor
  128.      * 
  129.      * @param sampleArray Array of the Statistical Hypothesis Samples
  130.      * @param testStatisticEvaluatorArray Array of the Test Statistic Evaluators
  131.      * 
  132.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  133.      */

  135.     public Ensemble (
  136.         final org.drip.validation.evidence.Sample[] sampleArray,
  137.         final org.drip.validation.evidence.TestStatisticEvaluator[] testStatisticEvaluatorArray)
  138.         throws java.lang.Exception
  139.     {
  140.         if (null == (_sampleArray = sampleArray) ||
  141.             null == (_testStatisticEvaluatorArray = testStatisticEvaluatorArray))
  142.         {
  143.             throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  144.         }

  146.         int sampleCount = _sampleArray.length;
  147.         int testStatisticEvaluatorCount = _testStatisticEvaluatorArray.length;
  148.         _evaluatedSampleTestStatistic = new double[testStatisticEvaluatorCount][sampleCount];
  149.         _probabilityIntegralTransformArray = new
  150.             org.drip.validation.hypothesis.ProbabilityIntegralTransform[testStatisticEvaluatorCount];

  152.         if (0 == sampleCount || 0 == testStatisticEvaluatorCount)
  153.         {
  154.             throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  155.         }

  157.         for (int sampleIndex = 0; sampleIndex < sampleCount; ++sampleIndex)
  158.         {
  159.             if (null == _sampleArray[sampleIndex])
  160.             {
  161.                 throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  162.             }
  163.         }

  165.         for (int testStatisticEvaluatorIndex = 0;
  166.             testStatisticEvaluatorIndex < testStatisticEvaluatorCount;
  167.             ++testStatisticEvaluatorIndex)
  168.         {
  169.             if (null == _testStatisticEvaluatorArray[testStatisticEvaluatorIndex])
  170.             {
  171.                 throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  172.             }

  174.             org.drip.validation.evidence.TestStatisticAccumulator testStatisticAccumulator = new
  175.                 org.drip.validation.evidence.TestStatisticAccumulator();

  177.             for (int sampleIndex = 0; sampleIndex < sampleCount; ++sampleIndex)
  178.             {
  179.                 if (!testStatisticAccumulator.addTestStatistic
  180.                     (_evaluatedSampleTestStatistic[testStatisticEvaluatorIndex][sampleIndex] =
  181.                         _sampleArray[sampleIndex].applyTestStatistic
  182.                             (_testStatisticEvaluatorArray[testStatisticEvaluatorIndex])))
  183.                 {
  184.                     throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  185.                 }
  186.             }

  188.             if (null == (_probabilityIntegralTransformArray[testStatisticEvaluatorIndex] =
  189.                 testStatisticAccumulator.probabilityIntegralTransform()))
  190.             {
  191.                 throw new java.lang.Exception ("Ensemble Constructor => Invalid Inputs");
  192.             }
  193.         }
  194.     }

  196.     /**
  197.      * Retrieve the Computed Ensemble Test Statistics
  198.      * 
  199.      * @return The Computed Ensemble Test Statistics
  200.      */

  202.     public double[][] evaluatedSampleTestStatistic()
  203.     {
  204.         return _evaluatedSampleTestStatistic;
  205.     }

  207.     /**
  208.      * Retrieve the Array of the Statistical Hypothesis Samples
  209.      * 
  210.      * @return The Array of the Statistical Hypothesis Samples
  211.      */

  213.     public org.drip.validation.evidence.Sample[] sampleArray()
  214.     {
  215.         return _sampleArray;
  216.     }

  218.     /**
  219.      * Retrieve the Array of the Test Statistic Evaluators
  220.      * 
  221.      * @return The Array of the Test Statistic Evaluators
  222.      */

  224.     public org.drip.validation.evidence.TestStatisticEvaluator[] testStatisticEvaluatorArray()
  225.     {
  226.         return _testStatisticEvaluatorArray;
  227.     }

  229.     /**
  230.      * Retrieve the Array of Probability Integral Transforms, one for each Test Statistic
  231.      * 
  232.      * @return The Array of Probability Integral Transforms
  233.      */

  235.     public org.drip.validation.hypothesis.ProbabilityIntegralTransform[] probabilityIntegralTransformArray()
  236.     {
  237.         return _probabilityIntegralTransformArray;
  238.     }

  240.     /**
  241.      * Construct the Test Statistic Based Significance Test Hypothesis Array
  242.      * 
  243.      * @return The Test Statistic Based Significance Test Hypothesis Array
  244.      */

  246.     public org.drip.validation.hypothesis.ProbabilityIntegralTransformTest[] significanceTest()
  247.     {
  248.         int probabilityIntegralTransformCount = _testStatisticEvaluatorArray.length;
  249.         org.drip.validation.hypothesis.ProbabilityIntegralTransformTest[]
  250.             probabilityIntegralTransformTestArray = new
  251.                 org.drip.validation.hypothesis.ProbabilityIntegralTransformTest[probabilityIntegralTransformCount];

  253.         for (int probabilityIntegralTransformIndex = 0;
  254.             probabilityIntegralTransformIndex < probabilityIntegralTransformCount;
  255.             ++probabilityIntegralTransformIndex)
  256.         {
  257.             try
  258.             {
  259.                 probabilityIntegralTransformTestArray[probabilityIntegralTransformIndex] = new
  260.                     org.drip.validation.hypothesis.ProbabilityIntegralTransformTest
  261.                         (_probabilityIntegralTransformArray[probabilityIntegralTransformIndex]);
  262.             }
  263.             catch (java.lang.Exception e)
  264.             {
  265.                 e.printStackTrace();

  267.                 return null;
  268.             }
  269.         }

  271.         return probabilityIntegralTransformTestArray;
  272.     }

  274.     /**
  275.      * Compute the Array of t-Test Results
  276.      * 
  277.      * @param testStatistic The Test Statistic
  278.      * 
  279.      * @return The Array of t-Test Results
  280.      */

  282.     public org.drip.validation.hypothesis.TTestOutcome[] tTest (
  283.         final double testStatistic)
  284.     {
  285.         int sampleCount = _sampleArray.length;
  286.         int testStatisticEvaluatorCount = _testStatisticEvaluatorArray.length;
  287.         org.drip.validation.hypothesis.TTestOutcome[] tTestArray = new
  288.             org.drip.validation.hypothesis.TTestOutcome[testStatisticEvaluatorCount];

  290.         for (int testStatisticEvaluatorIndex = 0;
  291.             testStatisticEvaluatorIndex < testStatisticEvaluatorCount;
  292.             ++testStatisticEvaluatorIndex)
  293.         {
  294.             org.drip.measure.statistics.UnivariateMoments ensembleUnivariateMoments =
  295.                 org.drip.measure.statistics.UnivariateMoments.Standard (
  296.                     "UnivariateMoments",
  297.                     _evaluatedSampleTestStatistic[testStatisticEvaluatorIndex],
  298.                     null
  299.                 );

  301.             if (null == ensembleUnivariateMoments)
  302.             {
  303.                 return null;
  304.             }

  306.             try
  307.             {
  308.                 tTestArray[testStatisticEvaluatorIndex] = new org.drip.validation.hypothesis.TTestOutcome (
  309.                     testStatistic,
  310.                     sampleCount,
  311.                     ensembleUnivariateMoments.mean(),
  312.                     ensembleUnivariateMoments.variance(),
  313.                     ensembleUnivariateMoments.stdDev(),
  314.                     ensembleUnivariateMoments.stdError(),
  315.                     ensembleUnivariateMoments.degreesOfFreedom(),
  316.                     ensembleUnivariateMoments.predictiveConfidenceLevel(),
  317.                     ensembleUnivariateMoments.tStatistic (testStatistic),
  318.                     ensembleUnivariateMoments.standardErrorOffset (testStatistic)
  319.                 );
  320.             }
  321.             catch (java.lang.Exception e)
  322.             {
  323.                 e.printStackTrace();

  325.                 return null;
  326.             }
  327.         }

  329.         return tTestArray;
  330.     }

  332.     /**
  333.      * Compute the Array of Statistical Test Outcomes
  334.      * 
  335.      * @param testStatistic The Realized Test Statistic
  336.      * @param pTestSetting The P-Test Setting
  337.      * 
  338.      * @return The Array of Statistical Test Outcomes
  339.      */

  341.     public org.drip.validation.hypothesis.StatisticalTestOutcome[] statisticalTest (
  342.         final double testStatistic,
  343.         final org.drip.validation.hypothesis.SignificanceTestSetting pTestSetting)
  344.     {
  345.         if (!org.drip.numerical.common.NumberUtil.IsValid (testStatistic) || null == pTestSetting)
  346.         {
  347.             return null;
  348.         }

  350.         int sampleCount = _sampleArray.length;
  351.         int testStatisticEvaluatorCount = _testStatisticEvaluatorArray.length;
  352.         org.drip.validation.hypothesis.StatisticalTestOutcome[] statisticalTestOutcomeArray = new
  353.             org.drip.validation.hypothesis.StatisticalTestOutcome[testStatisticEvaluatorCount];

  355.         org.drip.validation.hypothesis.ProbabilityIntegralTransformTest[]
  356.             probabilityIntegralTransformTestArray = significanceTest();

  358.         for (int testStatisticEvaluatorIndex = 0;
  359.             testStatisticEvaluatorIndex < testStatisticEvaluatorCount;
  360.             ++testStatisticEvaluatorIndex)
  361.         {
  362.             org.drip.measure.statistics.UnivariateMoments ensembleUnivariateMoments =
  363.                 org.drip.measure.statistics.UnivariateMoments.Standard (
  364.                     "UnivariateMoments",
  365.                     _evaluatedSampleTestStatistic[testStatisticEvaluatorIndex],
  366.                     null
  367.                 );

  369.             if (null == ensembleUnivariateMoments)
  370.             {
  371.                 return null;
  372.             }

  374.             try
  375.             {
  376.                 statisticalTestOutcomeArray[testStatisticEvaluatorIndex] = new
  377.                     org.drip.validation.hypothesis.StatisticalTestOutcome (
  378.                         probabilityIntegralTransformTestArray[testStatisticEvaluatorIndex].significanceTest (
  379.                             testStatistic,
  380.                             pTestSetting
  381.                         ),
  382.                         new org.drip.validation.hypothesis.TTestOutcome (
  383.                             testStatistic,
  384.                             sampleCount,
  385.                             ensembleUnivariateMoments.mean(),
  386.                             ensembleUnivariateMoments.variance(),
  387.                             ensembleUnivariateMoments.stdDev(),
  388.                             ensembleUnivariateMoments.stdError(),
  389.                             ensembleUnivariateMoments.degreesOfFreedom(),
  390.                             ensembleUnivariateMoments.predictiveConfidenceLevel(),
  391.                             ensembleUnivariateMoments.tStatistic (testStatistic),
  392.                             ensembleUnivariateMoments.standardErrorOffset (testStatistic)
  393.                         )
  394.                     );
  395.             }
  396.             catch (java.lang.Exception e)
  397.             {
  398.                 e.printStackTrace();

  400.                 return null;
  401.             }
  402.         }

  404.         return statisticalTestOutcomeArray;
  405.     }

  407.     @Override public org.drip.validation.hypothesis.ProbabilityIntegralTransform
  408.         nativeProbabilityIntegralTransform()
  409.     {
  410.         org.drip.validation.evidence.TestStatisticAccumulator testStatisticAccumulator = new
  411.             org.drip.validation.evidence.TestStatisticAccumulator();

  413.         int sampleCount = _sampleArray.length;

  415.         for (int sampleIndex = 0; sampleIndex < sampleCount; ++sampleIndex)
  416.         {
  417.             for (double realization : _sampleArray[sampleIndex].realizationArray())
  418.             {
  419.                 if (!testStatisticAccumulator.addTestStatistic (realization))
  420.                 {
  421.                     return null;
  422.                 }
  423.             }
  424.         }

  426.         return testStatisticAccumulator.probabilityIntegralTransform();
  427.     }
  428. }
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