GenericSequenceStatistics (3) - Linux Manuals
GenericSequenceStatistics: Statistics analysis of N-dimensional (sequence) data.
NAME
QuantLib::GenericSequenceStatistics - Statistics analysis of N-dimensional (sequence) data.
SYNOPSIS
#include <ql/math/statistics/sequencestatistics.hpp>
Public Types
typedef StatisticsType statistics_type
typedef std::vector< typename StatisticsType::value_type > value_type
Public Member Functions
GenericSequenceStatistics (Size dimension=0)
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_
Detailed Description
template<class StatisticsType> class QuantLib::GenericSequenceStatistics< 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.
Tests
- the correctness of the returned values is tested by checking them against numerical calculations.
Author
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