Class EmpiricalACEREstimation
- java.lang.Object
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- dev.nm.stat.evt.evd.univariate.fitting.acer.empirical.EmpiricalACEREstimation
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public class EmpiricalACEREstimation extends Object
This class estimates empirical ACER values from the given observations. The R equivalent function isacer::acer.prepare.
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Constructor Summary
Constructors Constructor Description EmpiricalACEREstimation()Create an instance with default values.EmpiricalACEREstimation(int nLevels, boolean usePeaksOnly, EpsilonStatisticsCalculator statisticsCalculator, int kStepMemory)Create an instance for counting empirical ACERs.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description EmpiricalACERestimate(double[][] observations)Estimate epsilon (or ACERs) from the given observations (each row is for one period).
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Constructor Detail
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EmpiricalACEREstimation
public EmpiricalACEREstimation()
Create an instance with default values. That is,this(300, true, new EpsilonStatisticsCalculator(true, 0.95), 2);
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EmpiricalACEREstimation
public EmpiricalACEREstimation(int nLevels, boolean usePeaksOnly, EpsilonStatisticsCalculator statisticsCalculator, int kStepMemory)Create an instance for counting empirical ACERs.- Parameters:
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)
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Method Detail
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estimate
public EmpiricalACER estimate(double[][] observations)
Estimate epsilon (or ACERs) from the given observations (each row is for one period).- Parameters:
observations- the multi-period observations- Returns:
- estimated epsilons
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