Package tech.nmfin.signal.infantino2010
Class Infantino2010PCA.Signal
- java.lang.Object
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- tech.nmfin.signal.infantino2010.Infantino2010PCA.Signal
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- Enclosing class:
- Infantino2010PCA
public static class Infantino2010PCA.Signal extends Object
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description MatrixB()MatrixD()VectordReturns()Gets the difference between predicted accumulated returns and realized accumulated returns at time T-H+1, the last historical fully realized accumulated return.intH()VectorrealizedReturns(int t)Gets the last H-period accumulated realized return.VectorS_t_hat(int t)Predicts the accumulated H-period return at time t.intT()MatrixX()
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Method Detail
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T
public int T()
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H
public int H()
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X
public Matrix X()
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D
public Matrix D()
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B
public Matrix B()
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S_t_hat
public Vector S_t_hat(int t)
Predicts the accumulated H-period return at time t. Note that when t >= T-H+1, we are predicting the future accumulated returns, as the next H-period ends at T-H+1-H = T+1, which extends beyond the currently observed data.- Parameters:
t- a time- Returns:
- the accumulated H-period return predicted using the information at time t
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realizedReturns
public Vector realizedReturns(int t)
Gets the last H-period accumulated realized return.- Parameters:
t- a time- Returns:
- the last H-period accumulated realized return
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dReturns
public 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. Starting from time T-H+2, the actual realized returns are not known yet as some returns are in the future.- Returns:
- the differences in predicted and realized returns
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