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Statistic tool for sequences with discrepancy calculation

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

Hierarchy

Index

Constructors

constructor

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

averageShortfall

correlation

covariance

discrepancy

  • discrepancy(): Real
  • Returns Real

downsideDeviation

  • downsideDeviation(): Real[]

downsideVariance

  • downsideVariance(): Real[]

errorEstimate

  • errorEstimate(): Real[]

expectedShortfall

gaussianAverageShortfall

  • gaussianAverageShortfall(x: Real): Real[]

gaussianExpectedShortfall

  • gaussianExpectedShortfall(x: Real): Real[]

gaussianPercentile

gaussianPotentialUpside

  • gaussianPotentialUpside(x: Real): Real[]

gaussianShortfall

gaussianValueAtRisk

init

kurtosis

  • kurtosis(): Real[]

max

mean

min

percentile

potentialUpside

regret

reset

  • reset(dimension?: Size): void

samples1

samples2

  • samples2(inRange: any): Size

semiDeviation

  • semiDeviation(): Real[]

semiVariance

  • semiVariance(): Real[]

shortfall

size

skewness

  • skewness(): Real[]

standardDeviation

  • standardDeviation(): Real[]

valueAtRisk

variance

  • variance(): Real[]

weightSum1

  • weightSum1(): Real

weightSum2

  • weightSum2(inRange: any): Size