qis.regimes.compute_regime_null_loadings

qis.regimes.compute_regime_null_loadings(af, q=None, nu=None, regime_ids=None)[source]

Correlation loading of each regime contribution under the Gaussian or Student-t null.

The null contribution of regime s is p_s SR + rho k_s, with k_s = sqrt(af) E[Z 1{Z in bucket s}] for a unit-variance margin Z.

Parameters:

  • af (float) – annualisation factor of the periodic returns, 4 for quarterly regimes

  • q (Sequence[float] | ndarray | None) – partition probabilities; None is the one-sigma cut

  • nu (float | None) – degrees of freedom of a joint Student-t null, above 2; None is the Gaussian null

  • regime_ids (Sequence[str] | None) – ids of the buckets; None uses the defaults of get_regime_ids

Returns:

loading per regime id, summing to zero

Raises:

ValueError – if af is not positive or nu is not above 2

Return type:

Series