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SequenceStatistics Class Template Reference#include <ql/Math/sequencestatistics.hpp>
Detailed Descriptiontemplate<class StatisticsType = Statistics>
Statistics analysis of N-dimensional (sequence) data.
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Public Types | |
typedef StatisticsType | statistics_type |
Public Member Functions | |
SequenceStatistics (Size dimension) | |
inspectors | |
Size | size () const |
covariance and correlation | |
Disposable< Matrix > | covariance () const |
returns the covariance Matrix | |
Disposable< Matrix > | correlation () const |
returns the correlation Matrix | |
1-D inspectors lifted from underlying statistics class | |
Size | samples () const |
Real | weightSum () const |
N-D inspectors lifted from underlying statistics class | |
std::vector< Real > | mean () const |
std::vector< Real > | variance () const |
std::vector< Real > | standardDeviation () const |
std::vector< Real > | downsideVariance () const |
std::vector< Real > | downsideDeviation () const |
std::vector< Real > | semiVariance () const |
std::vector< Real > | semiDeviation () const |
std::vector< Real > | errorEstimate () const |
std::vector< Real > | skewness () const |
std::vector< Real > | kurtosis () const |
std::vector< Real > | min () const |
std::vector< Real > | max () const |
std::vector< Real > | gaussianPercentile (Real y) const |
std::vector< Real > | percentile (Real y) const |
std::vector< Real > | gaussianPotentialUpside (Real percentile) const |
std::vector< Real > | potentialUpside (Real percentile) const |
std::vector< Real > | gaussianValueAtRisk (Real percentile) const |
std::vector< Real > | valueAtRisk (Real percentile) const |
std::vector< Real > | gaussianExpectedShortfall (Real percentile) const |
std::vector< Real > | expectedShortfall (Real percentile) const |
std::vector< Real > | regret (Real target) const |
std::vector< Real > | gaussianShortfall (Real target) const |
std::vector< Real > | shortfall (Real target) const |
std::vector< Real > | gaussianAverageShortfall (Real target) const |
std::vector< Real > | averageShortfall (Real target) const |
Modifiers | |
void | reset (Size dimension=0) |
template<class Sequence> void | add (const Sequence &sample, Real weight=1.0) |
template<class Iterator> void | add (Iterator begin, Iterator end, Real weight=1.0) |
Protected Attributes | |
Size | dimension_ |
std::vector< statistics_type > | stats_ |
std::vector< Real > | results_ |
Matrix | quadraticSum_ |
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