Class GenericSequenceStatistics
Hierarchy
GenericSequenceStatistics
Constructors
constructor
Defined in ql/math/statistics/sequencestatistics.ts:30
Parameters
Properties
S
S: any
Defined in ql/math/statistics/sequencestatistics.ts:324
Protected _dimension
Defined in ql/math/statistics/sequencestatistics.ts:326
Protected _quadraticSum
Defined in ql/math/statistics/sequencestatistics.ts:330
Protected _results
Defined in ql/math/statistics/sequencestatistics.ts:329
Protected _stats_stats: any [] = []
Defined in ql/math/statistics/sequencestatistics.ts:328
Methods
add
add( sample: Real [] , weight?: Real ) : void
Defined in ql/math/statistics/sequencestatistics.ts:69
Parameters
sample: Real []
Default value weight: Real = 1
Returns void
averageShortfall
Defined in ql/math/statistics/sequencestatistics.ts:269
Parameters
Returns Real []
correlation
Defined in ql/math/statistics/sequencestatistics.ts:297
covariance
Defined in ql/math/statistics/sequencestatistics.ts:276
downsideDeviation
downsideDeviation( ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:129
Returns Real []
downsideVariance
downsideVariance( ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:122
Returns Real []
errorEstimate
Defined in ql/math/statistics/sequencestatistics.ts:150
Returns Real []
expectedShortfall
Defined in ql/math/statistics/sequencestatistics.ts:248
Parameters
Returns Real []
gaussianAverageShortfall
gaussianAverageShortfall( x: Real ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:220
Parameters
Returns Real []
gaussianExpectedShortfall
gaussianExpectedShortfall( x: Real ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:206
Parameters
Returns Real []
gaussianPercentile
Defined in ql/math/statistics/sequencestatistics.ts:185
Parameters
Returns Real []
gaussianPotentialUpside
gaussianPotentialUpside( x: Real ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:192
Parameters
Returns Real []
gaussianShortfall
Defined in ql/math/statistics/sequencestatistics.ts:213
Parameters
Returns Real []
gaussianValueAtRisk
Defined in ql/math/statistics/sequencestatistics.ts:199
Parameters
Returns Real []
init
Defined in ql/math/statistics/sequencestatistics.ts:37
Parameters
Default value dimension: Size = 0
kurtosis
Defined in ql/math/statistics/sequencestatistics.ts:164
Returns Real []
max
Defined in ql/math/statistics/sequencestatistics.ts:178
Returns Real []
mean
Defined in ql/math/statistics/sequencestatistics.ts:101
Returns Real []
min
Defined in ql/math/statistics/sequencestatistics.ts:171
Returns Real []
percentile
Defined in ql/math/statistics/sequencestatistics.ts:227
Parameters
Returns Real []
potentialUpside
Defined in ql/math/statistics/sequencestatistics.ts:234
Parameters
Returns Real []
regret
Defined in ql/math/statistics/sequencestatistics.ts:255
Parameters
Returns Real []
reset
reset( dimension?: Size ) : void
Defined in ql/math/statistics/sequencestatistics.ts:47
Parameters
Default value dimension: Size = 0
Returns void
samples1
Defined in ql/math/statistics/sequencestatistics.ts:83
samples2
samples2( inRange: any ) : Size
Defined in ql/math/statistics/sequencestatistics.ts:88
Parameters
semiDeviation
Defined in ql/math/statistics/sequencestatistics.ts:143
Returns Real []
semiVariance
Defined in ql/math/statistics/sequencestatistics.ts:136
Returns Real []
shortfall
Defined in ql/math/statistics/sequencestatistics.ts:262
Parameters
Returns Real []
size
Defined in ql/math/statistics/sequencestatistics.ts:43
skewness
Defined in ql/math/statistics/sequencestatistics.ts:157
Returns Real []
standardDeviation
standardDeviation( ) : Real []
Defined in ql/math/statistics/sequencestatistics.ts:115
Returns Real []
valueAtRisk
Defined in ql/math/statistics/sequencestatistics.ts:241
Parameters
Returns Real []
variance
Defined in ql/math/statistics/sequencestatistics.ts:108
Returns Real []
weightSum1
Defined in ql/math/statistics/sequencestatistics.ts:92
weightSum2
weightSum2( inRange: any ) : Size
Defined in ql/math/statistics/sequencestatistics.ts:97
Parameters
Legend
Module Object literal Variable Function Function with type parameter Index signature Type alias Type alias with type parameter
Enumeration Enumeration member Property Method
Interface Interface with type parameter Constructor Property Method Index signature
Class Class with type parameter Constructor Property Method Accessor Index signature
Inherited constructor Inherited property Inherited method Inherited accessor
Protected property Protected method Protected accessor
Private property Private method Private accessor
Static property Static method
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.
test the correctness of the returned values is tested by checking them against numerical calculations.