TestStatisticAccumulator.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>TestStatisticAccumulator</i> contains the Instance Counts of the Sorted Test Statistic Values.
  79.  *
  80.  *  <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for
  84.  *              Back-testing Credit Exposure Models
  85.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 <b>eSSRN</b>
  86.  *      </li>
  87.  *      <li>
  88.  *          Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with
  89.  *              Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
  90.  *      </li>
  91.  *      <li>
  92.  *          Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit
  93.  *              Pricing, Palgrave Macmillan
  94.  *      </li>
  95.  *      <li>
  96.  *          Wikipedia (2018): Probability Integral Transform
  97.  *              https://en.wikipedia.org/wiki/Probability_integral_transform
  98.  *      </li>
  99.  *      <li>
  100.  *          Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value
  101.  *      </li>
  102.  *  </ul>
  103.  *
  104.  *  <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
  108.  *      <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>
  109.  *      <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>
  110.  *  </ul>
  111.  * <br><br>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class TestStatisticAccumulator
  117. {
  118.     private int _totalInstanceCount = 0;
  119.     private java.util.TreeMap<java.lang.Double, java.lang.Integer> _instanceCountMap = null;

  121.     /**
  122.      * Empty TestStatisticAccumulator Constructor
  123.      */

  125.     public TestStatisticAccumulator()
  126.     {
  127.     }

  129.     /**
  130.      * Retrieve the Instance Counter Map
  131.      * 
  132.      * @return The Instance Counter Map
  133.      */

  135.     public java.util.Map<java.lang.Double, java.lang.Integer> instanceCountMap()
  136.     {
  137.         return _instanceCountMap;
  138.     }

  140.     /**
  141.      * Retrieve the Total Response Instances Count
  142.      * 
  143.      * @return The Total Response Instances Count
  144.      */

  146.     public int totalInstanceCount()
  147.     {
  148.         return _totalInstanceCount;
  149.     }

  151.     /**
  152.      * Add the specified Test Statistic Entry
  153.      * 
  154.      * @param testStatistic The Test Statistic
  155.      * 
  156.      * @return TRUE - The Test Statistic Entry successfully added
  157.      */

  159.     public boolean addTestStatistic (
  160.         final double testStatistic)
  161.     {
  162.         if (!org.drip.numerical.common.NumberUtil.IsValid (testStatistic))
  163.         {
  164.             return false;
  165.         }

  167.         if (null == _instanceCountMap)
  168.         {
  169.             _instanceCountMap = new java.util.TreeMap<java.lang.Double, java.lang.Integer>();
  170.         }

  172.         _instanceCountMap.put (
  173.             testStatistic,
  174.             _instanceCountMap.containsKey (testStatistic) ? _instanceCountMap.get (testStatistic) + 1 : 1
  175.         );

  177.         ++_totalInstanceCount;
  178.         return true;
  179.     }

  181.     /**
  182.      * Extract the Empirical Cumulative Test Statistic Probability from the Smallest Response Value
  183.      * 
  184.      * @param testStatistic The Test Statistic
  185.      * 
  186.      * @return The Empirical Cumulative Test Statistic Probability from the Smallest Response Value
  187.      * 
  188.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  189.      */

  191.     public double cumulativeProbabilityFromLeft (
  192.         final double testStatistic)
  193.         throws java.lang.Exception
  194.     {
  195.         if (!org.drip.numerical.common.NumberUtil.IsValid (testStatistic) || 0 == _totalInstanceCount)
  196.         {
  197.             throw new java.lang.Exception
  198.                 ("TestStatisticAccumulator::cumulativeProbabilityFromLeft => Invalid Inputs");
  199.         }

  201.         double cumulativeProbabilityFromLeft = 0;

  203.         for (double testStatisticKey : _instanceCountMap.keySet())
  204.         {
  205.             if (testStatisticKey > testStatistic)
  206.             {
  207.                 break;
  208.             }

  210.             cumulativeProbabilityFromLeft += _instanceCountMap.get (testStatistic);
  211.         }

  213.         return cumulativeProbabilityFromLeft / _totalInstanceCount;
  214.     }

  216.     /**
  217.      * Extract the Empirical Cumulative Test Statistic Probability from the Largest Response Value
  218.      * 
  219.      * @param testStatistic The Test Statistic
  220.      * 
  221.      * @return The Empirical Cumulative Test Statistic Probability from the Largest Response Value
  222.      * 
  223.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  224.      */

  226.     public double cumulativeProbabilityFromRight (
  227.         final double testStatistic)
  228.         throws java.lang.Exception
  229.     {
  230.         if (!org.drip.numerical.common.NumberUtil.IsValid (testStatistic) || 0 == _totalInstanceCount)
  231.         {
  232.             throw new java.lang.Exception
  233.                 ("TestStatisticAccumulator::cumulativeProbabilityFromRight => Invalid Inputs");
  234.         }

  236.         double cumulativeProbabilityFromRight = 0;

  238.         for (double testStatisticKey : _instanceCountMap.descendingKeySet())
  239.         {
  240.             if (testStatisticKey < testStatistic)
  241.             {
  242.                 break;
  243.             }

  245.             cumulativeProbabilityFromRight += _instanceCountMap.get (testStatistic);
  246.         }

  248.         return cumulativeProbabilityFromRight / _totalInstanceCount;
  249.     }

  251.     /**
  252.      * Perform a Probability Integral Transform to generate the Test Statistic CDF Distribution
  253.      * 
  254.      * @return The Test Statistic CDF Distribution
  255.      */

  257.     public org.drip.validation.hypothesis.ProbabilityIntegralTransform probabilityIntegralTransform()
  258.     {
  259.         int instanceCount = 0;
  260.         double totalInstanceCountReciprocal = 1. / _totalInstanceCount;

  262.         java.util.Map<java.lang.Double, java.lang.Double> testStatisticPValueMap = new
  263.             java.util.TreeMap<java.lang.Double, java.lang.Double>();

  265.         for (double testStatisticKey : _instanceCountMap.keySet())
  266.         {
  267.             instanceCount += _instanceCountMap.get (testStatisticKey);

  269.             testStatisticPValueMap.put (
  270.                 testStatisticKey,
  271.                 totalInstanceCountReciprocal * instanceCount
  272.             );
  273.         }

  275.         try
  276.         {
  277.             return new org.drip.validation.hypothesis.ProbabilityIntegralTransform (testStatisticPValueMap);
  278.         }
  279.         catch (java.lang.Exception e)
  280.         {
  281.             e.printStackTrace();
  282.         }

  284.         return null;
  285.     }
  286. }
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