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 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()
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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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