QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
SequenceStatistics Class Template Reference
#include <ql/Math/sequencestatistics.hpp>
Detailed Description
template<class StatisticsType = Statistics>
class QuantLib::SequenceStatistics< StatisticsType >
Statistics analysis of N-dimensional (sequence) data.
It provides 1-dimensional statistics as discrepancy plus N-dimensional (sequence) statistics (e.g. mean, variance, skewness, kurtosis, etc.) with one component for each dimension of the sample space.
For most of the statistics this class relies on the StatisticsType underlying class to provide 1-D methods that will be iterated for all the components of the N-D data. These lifted methods are the union of all the methods that might be requested to the 1-D underlying StatisticsType class, with the usual compile-time checks provided by the template approach.
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 |
| double | weightSum () const |
N-D inspectors lifted from underlying statistics class | |
| std::vector< double > | mean () const |
| std::vector< double > | variance () const |
| std::vector< double > | standardDeviation () const |
| std::vector< double > | downsideVariance () const |
| std::vector< double > | downsideDeviation () const |
| std::vector< double > | semiVariance () const |
| std::vector< double > | semiDeviation () const |
| std::vector< double > | errorEstimate () const |
| std::vector< double > | skewness () const |
| std::vector< double > | kurtosis () const |
| std::vector< double > | min () const |
| std::vector< double > | max () const |
| std::vector< double > | gaussianPercentile (double y) const |
| std::vector< double > | percentile (double y) const |
| std::vector< double > | gaussianPotentialUpside (double percentile) const |
| std::vector< double > | potentialUpside (double percentile) const |
| std::vector< double > | gaussianValueAtRisk (double percentile) const |
| std::vector< double > | valueAtRisk (double percentile) const |
| std::vector< double > | gaussianExpectedShortfall (double percentile) const |
| std::vector< double > | expectedShortfall (double percentile) const |
| std::vector< double > | regret (double target) const |
| std::vector< double > | gaussianShortfall (double target) const |
| std::vector< double > | shortfall (double target) const |
| std::vector< double > | gaussianAverageShortfall (double target) const |
| std::vector< double > | averageShortfall (double target) const |
Modifiers | |
| void | reset (Size dimension=0) |
| template<class Sequence> void | add (const Sequence &sample, double weight=1.0) |
| template<class Iterator> void | add (Iterator begin, Iterator end, double weight=1.0) |
Protected Attributes | |
| Size | dimension_ |
| std::vector< statistics_type > | stats_ |
| std::vector< double > | results_ |
| Matrix | quadraticSum_ |
