Record Class ExtremeValueTheory.GpdMle

java.lang.Object
java.lang.Record
com.quantfinlib.risk.ExtremeValueTheory.GpdMle
Enclosing class:
ExtremeValueTheory
public static record ExtremeValueTheory.GpdMle(ExtremeValueTheory.GpdFit fit, double shapeStdError, double scaleStdError, double logLikelihood) extends Record
A maximum-likelihood GPD fit with asymptotic standard errors Var ξ̂ = (1+ξ)²/m, Var β̂ = 2β²(1+ξ)/m (Smith 1987).

  • Constructor Summary

    Constructors
    Constructor
    Description
    GpdMle(ExtremeValueTheory.GpdFit fit, double shapeStdError, double scaleStdError, double logLikelihood)
    Creates an instance of a GpdMle record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    ExtremeValueTheory.GpdFit
    fit()
    Returns the value of the fit record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    double
    logLikelihood()
    Returns the value of the logLikelihood record component.
    double
    scaleStdError()
    Returns the value of the scaleStdError record component.
    double
    shapeStdError()
    Returns the value of the shapeStdError record component.
    final String
    toString()
    Returns a string representation of this record class.

    Methods inherited from class Object

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

  • Constructor Details

    • GpdMle

      public GpdMle(ExtremeValueTheory.GpdFit fit, double shapeStdError, double scaleStdError, double logLikelihood)
      Creates an instance of a GpdMle record class.
      Parameters:
      fit - the value for the fit record component
      shapeStdError - the value for the shapeStdError record component
      scaleStdError - the value for the scaleStdError record component
      logLikelihood - the value for the logLikelihood record component

  • Method Details

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • fit

      public ExtremeValueTheory.GpdFit fit()
      Returns the value of the fit record component.
      Returns:
      the value of the fit record component

    • shapeStdError

      public double shapeStdError()
      Returns the value of the shapeStdError record component.
      Returns:
      the value of the shapeStdError record component

    • scaleStdError

      public double scaleStdError()
      Returns the value of the scaleStdError record component.
      Returns:
      the value of the scaleStdError record component

    • logLikelihood

      public double logLikelihood()
      Returns the value of the logLikelihood record component.
      Returns:
      the value of the logLikelihood record component