PlottingPositionGeneratorHeuristic.java
package org.drip.validation.quantile;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>PlottingPositionGeneratorHeuristic</i> holds the Expected Order Statistic Based Heuristic Plotting
* Position Generation Schemes.
*
* <br><br>
* <ul>
* <li>
* Filliben, J. J. (1975): The Probability Plot Correlation Coefficient Test for Normality
* <i>Technometrics, American Society for Quality</i> <b>17 (1)</b> 111-117
* </li>
* <li>
* Gibbons, J. D., and S. Chakraborti (2003): <i>Non-parametric Statistical Inference 4th
* Edition</i> <b>CRC Press</b>
* </li>
* <li>
* Gnanadesikan, R. (1977): <i>Methods for Statistical Analysis of Multivariate Observations</i>
* <b>Wiley</b>
* </li>
* <li>
* Thode, H. C. (2002): <i>Testing for Normality</i> <b>Marcel Dekker</b> New York
* </li>
* <li>
* Wikipedia (2018): Q-Q Plot https://en.wikipedia.org/wiki/Q%E2%80%93Q_plot
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ModelValidationAnalyticsLibrary.md">Model Validation Analytics Library</a></li>
* <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>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/validation/quantile/README.md">Quantile Based Graphical Numerical Validators</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class PlottingPositionGeneratorHeuristic extends
org.drip.validation.quantile.PlottingPositionGenerator
{
/**
* Standard Heuristic
*/
public static final double RELIEF_STANDARD = 0.;
/**
* Bernard and Bos-Levenbach (1953) Heuristic
*/
public static final double RELIEF_BERNARD_BOS_LEVENBACH_1953 = 0.3;
/**
* NIST (2013) Heuristic
*/
public static final double RELIEF_NIST_2013 = 0.3175;
/**
* Yu and Huang (2001) Heuristic
*/
public static final double RELIEF_YU_HUANG_2001 = 0.326;
/**
* BMDP (2018) Heuristic
*/
public static final double RELIEF_BMDP_2018 = 0.333333;
/**
* Blom (1958) Heuristic
*/
public static final double RELIEF_BLOM_1958 = 0.375;
/**
* Cunnane (1978) Heuristic
*/
public static final double RELIEF_CUNNANE_1978 = 0.4;
/**
* Gringorten (1963) Heuristic
*/
public static final double RELIEF_GRINGORTEN_1963 = 0.44;
/**
* Hazen (1913) Heuristic
*/
public static final double RELIEF_HAZEN_1913 = 0.5;
/**
* Larsen, Currant, and Hunt (1980) Heuristic
*/
public static final double RELIEF_LARSEN_CURRANT_HUNT_1980 = 0.567;
/**
* Filliben (1975) Heuristic
*/
public static final double RELIEF_FILLIBEN_1975 = 1.;
/**
* Construct the Standard Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Standard Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Standard (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_STANDARD
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Bernard Bos-Levenbach (1953) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Bernard Bos-Levenbach (1953) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic BernardBosLevenbach1953 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_BERNARD_BOS_LEVENBACH_1953
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the NIST (2013) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return NIST (2013) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic NIST2013 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_NIST_2013
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Yu and Huang (2001) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Yu and Huang (2001) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic YuHuang2001 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_YU_HUANG_2001
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the BMDP (2018) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return BMDP (2018) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic BMDP2018 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_BMDP_2018
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Blom (1958) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Blom (1958) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Blom1958 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_BLOM_1958
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Cunnane (1978) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Cunnane (1978) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Cunnane1978 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_CUNNANE_1978
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Gringorten (1963) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Gringorten (1963) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Gringorten1963 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_GRINGORTEN_1963
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Hazen (1913) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Hazen (1913) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Hazen1913 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_HAZEN_1913
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Larsen, Currant, and Hunt (1980) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Larsen, Currant, and Hunt (1980) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic LarsenCurrantHunt1980 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_LARSEN_CURRANT_HUNT_1980
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Filliben (1975) Version of the PlottingPositionGeneratorHeuristic
*
* @param orderStatisticCount The Order Statistic Count
*
* @return Filliben (1975) Version of the PlottingPositionGeneratorHeuristic
*/
public static final PlottingPositionGeneratorHeuristic Filliben1975 (
final int orderStatisticCount)
{
try
{
return new PlottingPositionGeneratorHeuristic (
orderStatisticCount,
RELIEF_FILLIBEN_1975
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
private double _relief = java.lang.Double.NaN;
/**
* PlottingPositionGeneratorHeuristic Constructor
*
* @param orderStatisticCount Count of Order Statistics
* @param relief Leading Relief
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public PlottingPositionGeneratorHeuristic (
final int orderStatisticCount,
final double relief)
throws java.lang.Exception
{
super (orderStatisticCount);
if (!org.drip.numerical.common.NumberUtil.IsValid (_relief = relief) || 0. > _relief || 1. < _relief)
{
throw new java.lang.Exception
("PlottingPositionGeneratorHeuristic Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Leading Relief
*
* @return The Leading Relief
*/
public double relief()
{
return _relief;
}
@Override public org.drip.validation.quantile.PlottingPosition[] generate()
{
int orderStatisticCount = orderStatisticCount();
org.drip.validation.quantile.PlottingPosition[] plottingPositionArray = new
org.drip.validation.quantile.PlottingPosition[orderStatisticCount];
for (int orderStatisticIndex = 1; orderStatisticIndex <= orderStatisticCount; ++orderStatisticIndex)
{
try
{
plottingPositionArray[orderStatisticIndex - 1] =
new org.drip.validation.quantile.PlottingPosition (
orderStatisticIndex,
(((double) orderStatisticIndex) - _relief) /
(1. + orderStatisticCount - 2. * _relief)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
return plottingPositionArray;
}
}