numeraire.core.stats.GRSResult#

class numeraire.core.stats.GRSResult(f_stat: float, p_value: float, n_obs: int, n_assets: int, n_factors: int, alphas: NDArray[float64], avg_abs_alpha: float, sh2_factors: float)[source]#

Bases: object

GRS joint zero-alpha test: F ~ F(n_assets, n_obs - n_assets - n_factors) under H0.

__init__(f_stat: float, p_value: float, n_obs: int, n_assets: int, n_factors: int, alphas: NDArray[float64], avg_abs_alpha: float, sh2_factors: float) → None#

Methods

__init__(f_stat, p_value, n_obs, n_assets, ...)

Attributes

`f_stat`
`p_value`
`n_obs`
`n_assets`
`n_factors`
`alphas`
`avg_abs_alpha`
`sh2_factors`