Class FamaMacBeth.Result

java.lang.Object
com.quantfinlib.alpha.FamaMacBeth.Result
Enclosing class:
FamaMacBeth
public static final class FamaMacBeth.Result extends Object

  • Constructor Summary

    Constructors
    Constructor
    Description
    Result(double[] premia, double[] tStats, double interceptMean, double interceptTStat, int periodsUsed, double[] naiveTStats, int[] hacLags)
    Creates the value; array and collection arguments are copied.

  • Method Summary

    Modifier and Type
    Method
    Description
    boolean
    equals(Object other)
     
    int
    hacLags(int i)
    Element i of hacLags (Bartlett lag used per factor).
    int[]
    hacLagsCopy()
    A fresh copy of hacLags.
    int
    hacLagsLength()
    Length of hacLags.
    int
    hashCode()
     
    double
    interceptMean()
    interceptMean (mean per-period intercept (should be near 0)).
    double
    interceptTStat()
    interceptTStat (its Newey-West t-stat).
    double
    naiveTStats(int i)
    Element i of naiveTStats (iid t-stats per factor, for comparison).
    double[]
    naiveTStatsCopy()
    A fresh copy of naiveTStats.
    int
    naiveTStatsLength()
    Length of naiveTStats.
    int
    periodsUsed()
    periodsUsed (cross-sections that had enough assets).
    double
    premia(int i)
    Element i of premia (mean per-period premium per factor).
    double[]
    premiaCopy()
    A fresh copy of premia.
    int
    premiaLength()
    Length of premia.
    String
    toString()
     
    double
    tStats(int i)
    Element i of tStats (Newey-West t-stat per factor).
    double[]
    tStatsCopy()
    A fresh copy of tStats.
    int
    tStatsLength()
    Length of tStats.

    Methods inherited from class Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • Result

      public Result(double[] premia, double[] tStats, double interceptMean, double interceptTStat, int periodsUsed, double[] naiveTStats, int[] hacLags)
      Creates the value; array and collection arguments are copied.
      Parameters:
      premia - mean per-period premium per factor
      tStats - Newey-West t-stat per factor
      interceptMean - mean per-period intercept (should be near 0)
      interceptTStat - its Newey-West t-stat
      periodsUsed - cross-sections that had enough assets
      naiveTStats - iid t-stats per factor, for comparison
      hacLags - Bartlett lag used per factor

  • Method Details

    • premia

      public double premia(int i)
      Element i of premia (mean per-period premium per factor).

    • premiaLength

      public int premiaLength()
      Length of premia.

    • premiaCopy

      public double[] premiaCopy()
      A fresh copy of premia.

    • tStats

      public double tStats(int i)
      Element i of tStats (Newey-West t-stat per factor).

    • tStatsLength

      public int tStatsLength()
      Length of tStats.

    • tStatsCopy

      public double[] tStatsCopy()
      A fresh copy of tStats.

    • interceptMean

      public double interceptMean()
      interceptMean (mean per-period intercept (should be near 0)).

    • interceptTStat

      public double interceptTStat()
      interceptTStat (its Newey-West t-stat).

    • periodsUsed

      public int periodsUsed()
      periodsUsed (cross-sections that had enough assets).

    • naiveTStats

      public double naiveTStats(int i)
      Element i of naiveTStats (iid t-stats per factor, for comparison).

    • naiveTStatsLength

      public int naiveTStatsLength()
      Length of naiveTStats.

    • naiveTStatsCopy

      public double[] naiveTStatsCopy()
      A fresh copy of naiveTStats.

    • hacLags

      public int hacLags(int i)
      Element i of hacLags (Bartlett lag used per factor).

    • hacLagsLength

      public int hacLagsLength()
      Length of hacLags.

    • hacLagsCopy

      public int[] hacLagsCopy()
      A fresh copy of hacLags.

    • 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