Class AlphaReport.Attribution

java.lang.Object
com.quantfinlib.alpha.AlphaReport.Attribution
Enclosing class:
AlphaReport
public static final class AlphaReport.Attribution extends Object
OLS attribution with standard errors.

  • Constructor Details

    • Attribution

      public Attribution(double alphaPerBar, double[] betas, List<String> factorNames, double rSquared, double alphaStdError, double alphaHacStdError, double[] betaStdErrors, double[] betaHacStdErrors, int hacLag)
      Creates the value; array and collection arguments are copied.
      Parameters:
      alphaPerBar - intercept: return per bar not explained by the factors
      alphaStdError - its classical standard error
      alphaHacStdError - its Newey-West standard error at hacLag
      betaStdErrors - classical standard errors of the betas
      betaHacStdErrors - Newey-West standard errors of the betas

  • Method Details

    • alphaPerBar

      public double alphaPerBar()
      alphaPerBar (intercept: return per bar not explained by the factors).

    • betas

      public double betas(int i)
      Element i of betas.

    • betasLength

      public int betasLength()
      Length of betas.

    • betasCopy

      public double[] betasCopy()
      A fresh copy of betas.

    • factorNames

      public List<String> factorNames()
      factorNames.

    • rSquared

      public double rSquared()
      rSquared.

    • alphaStdError

      public double alphaStdError()
      alphaStdError (its classical standard error).

    • alphaHacStdError

      public double alphaHacStdError()
      alphaHacStdError.

    • betaStdErrors

      public double betaStdErrors(int i)
      Element i of betaStdErrors (classical standard errors of the betas).

    • betaStdErrorsLength

      public int betaStdErrorsLength()
      Length of betaStdErrors.

    • betaStdErrorsCopy

      public double[] betaStdErrorsCopy()
      A fresh copy of betaStdErrors.

    • betaHacStdErrors

      public double betaHacStdErrors(int i)
      Element i of betaHacStdErrors (Newey-West standard errors of the betas).

    • betaHacStdErrorsLength

      public int betaHacStdErrorsLength()
      Length of betaHacStdErrors.

    • betaHacStdErrorsCopy

      public double[] betaHacStdErrorsCopy()
      A fresh copy of betaHacStdErrors.

    • hacLag

      public int hacLag()
      hacLag.

    • alphaTStat

      public double alphaTStat()
      Newey-West t-stat of the intercept.

    • format

      public String format()

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object