public class EmpiricalACEREstimation extends Object
acer::acer.prepare
.Constructor and Description |
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EmpiricalACEREstimation()
Create an instance with default values.
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EmpiricalACEREstimation(int nLevels,
boolean usePeaksOnly,
EpsilonStatisticsCalculator statisticsCalculator,
int kStepMemory)
Create an instance for counting empirical ACERs.
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Modifier and Type | Method and Description |
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EmpiricalACER |
estimate(double[][] observations)
Estimate epsilon (or ACERs) from the given observations (each row is for one period).
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public EmpiricalACEREstimation()
this(300, true, new EpsilonStatisticsCalculator(true, 0.95), 2);
public EmpiricalACEREstimation(int nLevels, boolean usePeaksOnly, EpsilonStatisticsCalculator statisticsCalculator, int kStepMemory)
nLevels
- number of barrier levels to be used for estimation (e.g., 300)usePeaksOnly
- perform estimation on peaks onlystatisticsCalculator
- the calculator for computing the mean and the confidence intervalkStepMemory
- k in k-step memory assumption (2 is enough in most cases)public EmpiricalACER estimate(double[][] observations)
observations
- the multi-period observationsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.