Class CalendarAnomalies.DayOfWeekProfile

java.lang.Object
com.quantfinlib.alpha.CalendarAnomalies.DayOfWeekProfile
Enclosing class:
CalendarAnomalies
public static final class CalendarAnomalies.DayOfWeekProfile extends Object
Per-day-of-week profile, indexed Monday = 0 … Sunday = 6. Days with fewer than two observations report NaN t-stats and are not tested.

  • Constructor Details

    • DayOfWeekProfile

      public DayOfWeekProfile(double[] meanReturn, double[] tStat, int[] count, double[] naiveTStat, boolean[] holmSignificant, int hacLag)
      Creates the value; array and collection arguments are copied.
      Parameters:
      tStat - Newey-West t-stat of each day's mean
      naiveTStat - iid t-stat (mean over sample-sd/√n)
      holmSignificant - day survives Holm's correction across the tested days

  • Method Details

    • meanReturn

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

    • meanReturnLength

      public int meanReturnLength()
      Length of meanReturn.

    • meanReturnCopy

      public double[] meanReturnCopy()
      A fresh copy of meanReturn.

    • tStat

      public double tStat(int i)
      Element i of tStat (Newey-West t-stat of each day's mean).

    • tStatLength

      public int tStatLength()
      Length of tStat.

    • tStatCopy

      public double[] tStatCopy()
      A fresh copy of tStat.

    • count

      public int count(int i)
      Element i of count.

    • countLength

      public int countLength()
      Length of count.

    • countCopy

      public int[] countCopy()
      A fresh copy of count.

    • naiveTStat

      public double naiveTStat(int i)
      Element i of naiveTStat (iid t-stat (mean over sample-sd/√n)).

    • naiveTStatLength

      public int naiveTStatLength()
      Length of naiveTStat.

    • naiveTStatCopy

      public double[] naiveTStatCopy()
      A fresh copy of naiveTStat.

    • holmSignificant

      public boolean holmSignificant(int i)
      Element i of holmSignificant (day survives Holm's correction across the tested days).

    • holmSignificantLength

      public int holmSignificantLength()
      Length of holmSignificant.

    • holmSignificantCopy

      public boolean[] holmSignificantCopy()
      A fresh copy of holmSignificant.

    • hacLag

      public int hacLag()
      hacLag.

    • 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