Class Infantino2010PCA.Signal

    • Method Detail

      • T

        public int T()
      • H

        public int H()
      • 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
      • 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
      • 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