Uses of Class
com.quantfinlib.alpha.AlphaReport.Attribution

Packages that use AlphaReport.Attribution

Package	Description
com.quantfinlib.alpha	Cross-sectional alpha research: signal generation, evaluation, validation, execution-aware backtesting, portfolio construction and reporting, each a separate step.

Uses of AlphaReport.Attribution in com.quantfinlib.alpha

Methods in com.quantfinlib.alpha that return AlphaReport.Attribution

Modifier and Type	Method	Description
static AlphaReport.Attribution	AlphaReport.attribute(double[] portfolioReturns, double[][] factorReturns, List<String> factorNames)	AlphaReport.attribute(double[], double[][], List, int) with the Andrews (1991) automatic lag picked on the portfolio returns.
static AlphaReport.Attribution	AlphaReport.attribute(double[] portfolioReturns, double[][] factorReturns, List<String> factorNames, int hacLag)	Regresses portfolio returns on factor return streams with an intercept, r_p = α + Σ βᵢ·fᵢ + ε, by Householder QR (Ols).