public static class Infantino2010PCA.Signal extends Object
Modifier and Type | Method and Description |
---|---|
Matrix |
B() |
Matrix |
D() |
Vector |
dReturns()
Gets the difference between predicted accumulated returns and
realized accumulated
returns at time T-H+1, the last historical fully realized
accumulated return.
|
int |
H() |
Vector |
realizedReturns(int t)
Gets the last H-period accumulated realized return.
|
Vector |
S_t_hat(int t)
Predicts the accumulated H-period return at time t.
|
int |
T() |
Matrix |
X() |
public int T()
public int H()
public Matrix X()
public Matrix D()
public Matrix B()
public Vector S_t_hat(int t)
t
- a timepublic Vector realizedReturns(int t)
t
- a timepublic Vector dReturns()
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