org.jquantlib.math.statistics

Class GenericSequenceStatistics

java.lang.Object

org.jquantlib.math.statistics.GenericSequenceStatistics

Direct Known Subclasses:

SequenceStatistics

public class GenericSequenceStatistics
extends java.lang.Object

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.

Constructor Summary

Constructors

Constructor and Description
GenericSequenceStatistics()
GenericSequenceStatistics(int dimension)

Method Summary

Modifier and Type	Method and Description
void	add(Array datum) adds a sequence of data to the set, with default weight
void	add(Array datum, double weight) adds a sequence of data to the set, each with its weight
void	add(double[] datum) adds a sequence of data to the set, with default weight
void	add(double[] datum, double weight) adds a sequence of data to the set, each with its weight
Array	averageShortfall(double target)
Matrix	correlation() returns the correlation Matrix
Matrix	covariance() returns the covariance Matrix
Array	downsideDeviation()
Array	downsideVariance()
Array	errorEstimate()
Array	expectedShortfall(double percentile)
Array	gaussianAverageShortfall(double target)
Array	gaussianExpectedShortfall(double percentile)
Array	gaussianPercentile(double y)
Array	gaussianPotentialUpside(double percentile)
Array	gaussianShortfall(double target)
Array	gaussianValueAtRisk(double percentile)
Array	kurtosis()
Array	max()
Array	mean()
Array	min()
Array	percentile(double y)
Array	potentialUpside(double percentile)
Array	regret(double target)
void	reset()
void	reset(int dimension)
int	samples()
Array	semiDeviation()
Array	semiVariance()
Array	shortfall(double target)
int	size()
Array	skewness()
Array	standardDeviation()
Array	valueAtRisk(double percentile)
Array	variance()
double	weightSum()

Methods inherited from class java.lang.Object

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

Constructor Detail

GenericSequenceStatistics

public GenericSequenceStatistics()

GenericSequenceStatistics

public GenericSequenceStatistics(int dimension)

Method Detail

size

public int size()

covariance

public Matrix covariance()

returns the covariance Matrix

correlation

public Matrix correlation()

returns the correlation Matrix

samples

public int samples()

weightSum

public double weightSum()

mean

public Array mean()

variance

public Array variance()

standardDeviation

public Array standardDeviation()

downsideVariance

public Array downsideVariance()

downsideDeviation

public Array downsideDeviation()

semiVariance

public Array semiVariance()

semiDeviation

public Array semiDeviation()

errorEstimate

public Array errorEstimate()

skewness

public Array skewness()

kurtosis

public Array kurtosis()

min

public Array min()

max

public Array max()

gaussianPercentile

public Array gaussianPercentile(double y)

gaussianPotentialUpside

public Array gaussianPotentialUpside(double percentile)

gaussianValueAtRisk

public Array gaussianValueAtRisk(double percentile)

gaussianExpectedShortfall

public Array gaussianExpectedShortfall(double percentile)

gaussianShortfall

public Array gaussianShortfall(double target)

gaussianAverageShortfall

public Array gaussianAverageShortfall(double target)

percentile

public Array percentile(double y)

potentialUpside

public Array potentialUpside(double percentile)

valueAtRisk

public Array valueAtRisk(double percentile)

expectedShortfall

public Array expectedShortfall(double percentile)

regret

public Array regret(double target)

shortfall

public Array shortfall(double target)

averageShortfall

public Array averageShortfall(double target)

reset

public void reset()

reset

public void reset(int dimension)

add

public void add(double[] datum)

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

add

public void add(double[] datum,
                double weight)

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

add

public void add(Array datum)

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

add

public void add(Array datum,
                double weight)

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