tech.nmfin.signal.infantino2010

Class Infantino2010PCA.Signal

java.lang.Object

tech.nmfin.signal.infantino2010.Infantino2010PCA.Signal

Enclosing class:

Infantino2010PCA

public static class Infantino2010PCA.Signal
extends Object

Method Summary

Modifier and Type	Method and 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()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

T

public int T()

H

public int H()

X

public Matrix X()

D

public Matrix D()

B

public Matrix B()

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