Package tech.nmfin.signal.infantino2010
Class Infantino2010PCA
- java.lang.Object
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- tech.nmfin.signal.infantino2010.Infantino2010PCA
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public class Infantino2010PCA extends Object
The objective is to predict the next H-period accumulated returns from the past H-period dimensionally reduced returns. The dimensionally reduced returns are computed using PCA to remove idiosyncratic noises from the raw, realized accumulated returns.
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
Infantino2010PCA.Signal
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Constructor Summary
Constructors Constructor Description Infantino2010PCA(int T, int N, int H, int k, boolean parallelized)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description Infantino2010PCA.Signal
getSignal(Matrix X)
static Vector
sumUpLastRows(Matrix D, int lastIndex, int nRows)
Sums up, for each column, the lastnRows
rows.
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Method Detail
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getSignal
public Infantino2010PCA.Signal getSignal(Matrix X) throws MultipleExecutionException
- Throws:
MultipleExecutionException
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sumUpLastRows
public static Vector sumUpLastRows(Matrix D, int lastIndex, int nRows)
Sums up, for each column, the lastnRows
rows.- Parameters:
D
- a matrixlastIndex
- the ending index of the rows to be summed upnRows
- the number of rows including and above the ending index to be summed up- Returns:
- the (running) column sum
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