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 classInfantino2010PCA.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.SignalgetSignal(Matrix X)static VectorsumUpLastRows(Matrix D, int lastIndex, int nRows)Sums up, for each column, the lastnRowsrows.
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Method Detail
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getSignal
public Infantino2010PCA.Signal getSignal(Matrix X) throws MultipleExecutionException
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MultipleExecutionException
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sumUpLastRows
public static Vector sumUpLastRows(Matrix D, int lastIndex, int nRows)
Sums up, for each column, the lastnRowsrows.- 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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