org.jquantlib.math.statistics

Class GeneralStatistics

java.lang.Object

org.jquantlib.math.statistics.GeneralStatistics

Direct Known Subclasses:

GenericGaussianStatistics

public abstract class GeneralStatistics
extends java.lang.Object

Statistics tool

This class accumulates a set of data and returns their statistics (e.g: mean, variance, skewness, kurtosis, error estimation, percentile, etc.) based on the empirical distribution (no gaussian assumption)

It doesn't suffer the numerical instability problem of IncrementalStatistics. The downside is that it stores all samples, thus increasing the memory requirements.

Constructor Summary

Constructors

Constructor and Description
GeneralStatistics()

Method Summary

Modifier and Type	Method and Description
void	add(double value)
void	add(double value, double weight)
void	addSequence(Array datum) adds a sequence of data to the set, with default weight
void	addSequence(Array datum, Array weights) adds a sequence of data to the set, each with its weight
void	addSequence(double[] datum) adds a sequence of data to the set, with default weight
void	addSequence(double[] datum, double[] weights) adds a sequence of data to the set, each with its weight
java.util.List<ComparablePair<java.lang.Double,java.lang.Double>>	data()
double	errorEstimate()
Pair<java.lang.Double,java.lang.Integer>	expectationValue(Ops.DoubleOp f, Ops.DoublePredicate inRange)
double	kurtosis()
double	max()
double	mean()
double	min()
double	percentile(double percent)
void	reset() resets the data to a null set
int	samples()
double	skewness()
void	sort() sort the data set in increasing order
double	standardDeviation()
double	topPercentile(double percent)
double	variance()
double	weightSum()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GeneralStatistics

public GeneralStatistics()

Method Detail

addSequence

public void addSequence(double[] datum)

adds a sequence of data to the set, with default weight

addSequence

public void addSequence(double[] datum,
                        double[] weights)

adds a sequence of data to the set, each with its weight

addSequence

public void addSequence(Array datum)

adds a sequence of data to the set, with default weight

addSequence

public void addSequence(Array datum,
                        Array weights)

adds a sequence of data to the set, each with its weight

reset

public void reset()

resets the data to a null set

sort

public void sort()

sort the data set in increasing order

samples

public int samples()

data

public java.util.List<ComparablePair<java.lang.Double,java.lang.Double>> data()

weightSum

public double weightSum()

mean

public double mean()

variance

public double variance()

standardDeviation

public double standardDeviation()

errorEstimate

public double errorEstimate()

skewness

public double skewness()

kurtosis

public double kurtosis()

min

public double min()

max

public double max()

expectationValue

public final Pair<java.lang.Double,java.lang.Integer> expectationValue(Ops.DoubleOp f,
                                                                       Ops.DoublePredicate inRange)

percentile

public double percentile(double percent)

topPercentile

public double topPercentile(double percent)

add

public void add(double value)

add

public void add(double value,
                double weight)