API Reference¶
Factor models (mosaicperm.factor
)¶

Mosaic test for factor models with known exposures. 

Mosaic factor test based on 

Computes residuals via crosssectional OLS. 
Combining results (mosaicperm.core
)¶

Combines results across 

Combines timeseries results across 
Test statistics (mosaicperm.statistics
)¶

Mean absolute correlation statistic. 

Mean maximum (absolute) correlation statistic. 

Quantiles of maximum (absolute) correlation statistic. 

Outofsample R^2 measuring improvement for an augmented model containing an additional exposure. 

Computes a mosaic BCV statistic for several augmented models. 

Performs approximate sparse pca. 

Returns subjects whose residual stdev is above 
Tilings (mosaicperm.tilings
)¶

A class to store tilings used in mosaic tests. 

Computes default tiling for factor models. 

Partitions outcomes into 

Checks validity of a tiling. 
Other core functions (mosaicperm.core
)¶

Computes an adaptive pvalue based on one or more test statistics. 
Generic class meant for subclassing. 