QuantLib 0.3.7
Getting started
Reference manual
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IncrementalStatistics Class Reference#include <ql/Math/incrementalstatistics.hpp>
List of all members.
Detailed Description
Statistics tool based on incremental accumulation.
It can accumulate a set of data and return statistics (e.g: mean, variance, skewness, kurtosis, error estimation, etc.)
- Warning:
- high moments are numerically unstable for high average/standardDeviation ratios
Member Function Documentation
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returns the mean, defined as
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returns the variance, defined as
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Real standardDeviation |
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const |
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returns the standard deviation , defined as the square root of the variance. |
Real downsideVariance |
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const |
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returns the downside variance, defined as
, where = 0 if x > 0 and =1 if x <0 |
Real downsideDeviation |
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const |
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returns the downside deviation, defined as the square root of the downside variance. |
Real errorEstimate |
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const |
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returns the error estimate , defined as the square root of the ratio of the variance to the number of samples. |
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returns the skewness, defined as
The above evaluates to 0 for a Gaussian distribution. |
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returns the excess kurtosis, defined as
The above evaluates to 0 for a Gaussian distribution. |
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returns the minimum sample value |
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returns the maximum sample value |
void add |
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Real |
value, |
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Real |
weight = 1.0 |
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adds a datum to the set, possibly with a weight
- Precondition:
- weight must be positive or null
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void addSequence |
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DataIterator |
begin, |
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DataIterator |
end, |
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WeightIterator |
wbegin |
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adds a sequence of data to the set, each with its weight
- Precondition:
- weights must be positive or null
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