Class DiscrepancyStatistics

Statistic tool for sequences with discrepancy calculation

It inherit from SequenceStatistics and adds $ L^2 $ discrepancy calculation

Hierarchy

SequenceStatistics
- DiscrepancyStatistics

Index

Constructors

constructor

Properties

Constructors

constructor

new DiscrepancyStatistics(dimension: Size): DiscrepancyStatistics

Overrides SequenceStatistics.constructor
- Defined in ql/math/statistics/discrepancystatistics.ts:16
Parameters
- dimension: Size
Returns DiscrepancyStatistics

Properties

S

S: any

Private _adiscr

_adiscr: Real

Private _bdiscr

_bdiscr: Real

Private _cdiscr

_cdiscr: Real

Private _ddiscr

_ddiscr: Real

Protected _dimension

_dimension: Size

Protected _quadraticSum

_quadraticSum: Matrix

Protected _results

_results: Real[] = []

Protected _stats

_stats: any[] = []

Methods

add

add(sample: Real[], weight?: Real): void

Overrides GenericSequenceStatistics.add
- Defined in ql/math/statistics/discrepancystatistics.ts:22
Parameters
- sample: Real[]
- Default value weight: Real = 1
Returns void

averageShortfall

averageShortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.averageShortfall
- Defined in ql/math/statistics/sequencestatistics.ts:269
Parameters
- x: Real
Returns Real[]

correlation

correlation(): Matrix

Inherited from GenericSequenceStatistics.correlation
- Defined in ql/math/statistics/sequencestatistics.ts:297
Returns Matrix

covariance

covariance(): Matrix

Inherited from GenericSequenceStatistics.covariance
- Defined in ql/math/statistics/sequencestatistics.ts:276
Returns Matrix

discrepancy

discrepancy(): Real

- Defined in ql/math/statistics/discrepancystatistics.ts:83
Returns Real

downsideDeviation

downsideDeviation(): Real[]

Inherited from GenericSequenceStatistics.downsideDeviation
- Defined in ql/math/statistics/sequencestatistics.ts:129
Returns Real[]

downsideVariance

downsideVariance(): Real[]

Inherited from GenericSequenceStatistics.downsideVariance
- Defined in ql/math/statistics/sequencestatistics.ts:122
Returns Real[]

errorEstimate

errorEstimate(): Real[]

Inherited from GenericSequenceStatistics.errorEstimate
- Defined in ql/math/statistics/sequencestatistics.ts:150
Returns Real[]

expectedShortfall

expectedShortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.expectedShortfall
- Defined in ql/math/statistics/sequencestatistics.ts:248
Parameters
- x: Real
Returns Real[]

gaussianAverageShortfall

gaussianAverageShortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianAverageShortfall
- Defined in ql/math/statistics/sequencestatistics.ts:220
Parameters
- x: Real
Returns Real[]

gaussianExpectedShortfall

gaussianExpectedShortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianExpectedShortfall
- Defined in ql/math/statistics/sequencestatistics.ts:206
Parameters
- x: Real
Returns Real[]

gaussianPercentile

gaussianPercentile(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianPercentile
- Defined in ql/math/statistics/sequencestatistics.ts:185
Parameters
- x: Real
Returns Real[]

gaussianPotentialUpside

gaussianPotentialUpside(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianPotentialUpside
- Defined in ql/math/statistics/sequencestatistics.ts:192
Parameters
- x: Real
Returns Real[]

gaussianShortfall

gaussianShortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianShortfall
- Defined in ql/math/statistics/sequencestatistics.ts:213
Parameters
- x: Real
Returns Real[]

gaussianValueAtRisk

gaussianValueAtRisk(x: Real): Real[]

Inherited from GenericSequenceStatistics.gaussianValueAtRisk
- Defined in ql/math/statistics/sequencestatistics.ts:199
Parameters
- x: Real
Returns Real[]

init

init(dimension?: Size): GenericSequenceStatistics

Inherited from GenericSequenceStatistics.init
- Defined in ql/math/statistics/sequencestatistics.ts:37
Parameters
- Default value dimension: Size = 0
Returns GenericSequenceStatistics

kurtosis

kurtosis(): Real[]

Inherited from GenericSequenceStatistics.kurtosis
- Defined in ql/math/statistics/sequencestatistics.ts:164
Returns Real[]

max

max(): Real[]

Inherited from GenericSequenceStatistics.max
- Defined in ql/math/statistics/sequencestatistics.ts:178
Returns Real[]

mean

mean(): Real[]

Inherited from GenericSequenceStatistics.mean
- Defined in ql/math/statistics/sequencestatistics.ts:101
Returns Real[]

min

min(): Real[]

Inherited from GenericSequenceStatistics.min
- Defined in ql/math/statistics/sequencestatistics.ts:171
Returns Real[]

percentile

percentile(x: Real): Real[]

Inherited from GenericSequenceStatistics.percentile
- Defined in ql/math/statistics/sequencestatistics.ts:227
Parameters
- x: Real
Returns Real[]

potentialUpside

potentialUpside(x: Real): Real[]

Inherited from GenericSequenceStatistics.potentialUpside
- Defined in ql/math/statistics/sequencestatistics.ts:234
Parameters
- x: Real
Returns Real[]

regret

regret(x: Real): Real[]

Inherited from GenericSequenceStatistics.regret
- Defined in ql/math/statistics/sequencestatistics.ts:255
Parameters
- x: Real
Returns Real[]

reset

reset(dimension?: Size): void

Overrides GenericSequenceStatistics.reset
- Defined in ql/math/statistics/discrepancystatistics.ts:67
Parameters
- Default value dimension: Size = 0
Returns void

samples1

samples1(): Size

Inherited from GenericSequenceStatistics.samples1
- Defined in ql/math/statistics/sequencestatistics.ts:83
Returns Size

samples2

samples2(inRange: any): Size

Inherited from GenericSequenceStatistics.samples2
- Defined in ql/math/statistics/sequencestatistics.ts:88
Parameters
- inRange: any
Returns Size

semiDeviation

semiDeviation(): Real[]

Inherited from GenericSequenceStatistics.semiDeviation
- Defined in ql/math/statistics/sequencestatistics.ts:143
Returns Real[]

semiVariance

semiVariance(): Real[]

Inherited from GenericSequenceStatistics.semiVariance
- Defined in ql/math/statistics/sequencestatistics.ts:136
Returns Real[]

shortfall

shortfall(x: Real): Real[]

Inherited from GenericSequenceStatistics.shortfall
- Defined in ql/math/statistics/sequencestatistics.ts:262
Parameters
- x: Real
Returns Real[]

size

size(): Size

Inherited from GenericSequenceStatistics.size
- Defined in ql/math/statistics/sequencestatistics.ts:43
Returns Size

skewness

skewness(): Real[]

Inherited from GenericSequenceStatistics.skewness
- Defined in ql/math/statistics/sequencestatistics.ts:157
Returns Real[]

standardDeviation

standardDeviation(): Real[]

Inherited from GenericSequenceStatistics.standardDeviation
- Defined in ql/math/statistics/sequencestatistics.ts:115
Returns Real[]

valueAtRisk

valueAtRisk(x: Real): Real[]

Inherited from GenericSequenceStatistics.valueAtRisk
- Defined in ql/math/statistics/sequencestatistics.ts:241
Parameters
- x: Real
Returns Real[]

variance

variance(): Real[]

Inherited from GenericSequenceStatistics.variance
- Defined in ql/math/statistics/sequencestatistics.ts:108
Returns Real[]

weightSum1

weightSum1(): Real

Inherited from GenericSequenceStatistics.weightSum1
- Defined in ql/math/statistics/sequencestatistics.ts:92
Returns Real

weightSum2

weightSum2(inRange: any): Size

Inherited from GenericSequenceStatistics.weightSum2
- Defined in ql/math/statistics/sequencestatistics.ts:97
Parameters
- inRange: any
Returns Size