Package jline.api.sim

Class StsQuantileStats

java.lang.Object

jline.api.sim.StsQuantileStats

public class StsQuantileStats
extends Object

Standardized time series statistics of the batched quantile process.

Produced by Sim_sts_quantile_areas and consumed by Sim_fquest and Sim_firquest. The three variance-parameter estimators all target sigma_p^2 = lim n Var(ytilde_p(n)); see Sim_sts_quantile_areas for their definitions.

Since:

LINE 3.1.0

Field Summary

Fields

Modifier and Type	Field	Description
final double	Ap	Batched STS area estimator of the variance parameter.
final double[]	areas	Signed STS areas, one per batch.
final int	b	Batch count.
final double[]	bqe	Batched quantile estimators, one per batch.
final int	m	Batch size.
final int	n	Observations used, b*m.
final double	Np	Nonoverlapping batched quantile estimator of the variance parameter, NaN when b < 2.
final double	quantile	Full-sample empirical p-quantile over all n observations.
final double	Vp	Combined estimator of the variance parameter, NaN when b < 2.

Constructor Summary

Constructors

Constructor	Description
StsQuantileStats(double[] areas, double[] bqe, double quantile, double Ap, double Np, double Vp, int b, int m, int n)

Method Summary

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

areas

public final double[] areas

Signed STS areas, one per batch.

bqe

public final double[] bqe

Batched quantile estimators, one per batch.

quantile

public final double quantile

Full-sample empirical p-quantile over all n observations.

Ap

public final double Ap

Batched STS area estimator of the variance parameter.

Np

public final double Np

Nonoverlapping batched quantile estimator of the variance parameter, NaN when b < 2.

Vp

public final double Vp

Combined estimator of the variance parameter, NaN when b < 2.

b

public final int b

Batch count.

m

public final int m

Batch size.

n

public final int n

Observations used, b*m.

Constructor Details

StsQuantileStats

public StsQuantileStats(double[] areas,
 double[] bqe,
 double quantile,
 double Ap,
 double Np,
 double Vp,
 int b,
 int m,
 int n)