A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Statistic tool for sequences with discrepancy calculation. More...
#include <ql/math/statistics/discrepancystatistics.hpp>
Inheritance diagram for DiscrepancyStatistics:Public Types | |
| typedef SequenceStatistics::value_type | value_type |
| Public Types inherited from GenericSequenceStatistics< StatisticsType > | |
| typedef StatisticsType | statistics_type |
| typedef std::vector< typename StatisticsType::value_type > | value_type |
Public Member Functions | |
| DiscrepancyStatistics (Size dimension) | |
| Public Member Functions inherited from GenericSequenceStatistics< StatisticsType > | |
| GenericSequenceStatistics (Size dimension=0) | |
| Size | size () const |
| Disposable< Matrix > | covariance () const |
| returns the covariance Matrix | |
| Disposable< Matrix > | correlation () const |
| returns the correlation Matrix | |
| Size | samples () const |
| Real | weightSum () const |
| std::vector< Real > | mean () const |
| std::vector< Real > | variance () const |
| std::vector< Real > | standardDeviation () const |
| std::vector< Real > | downsideVariance () const |
| std::vector< Real > | downsideDeviation () const |
| std::vector< Real > | semiVariance () const |
| std::vector< Real > | semiDeviation () const |
| std::vector< Real > | errorEstimate () const |
| std::vector< Real > | skewness () const |
| std::vector< Real > | kurtosis () const |
| std::vector< Real > | min () const |
| std::vector< Real > | max () const |
| std::vector< Real > | gaussianPercentile (Real y) const |
| std::vector< Real > | percentile (Real y) const |
| std::vector< Real > | gaussianPotentialUpside (Real percentile) const |
| std::vector< Real > | potentialUpside (Real percentile) const |
| std::vector< Real > | gaussianValueAtRisk (Real percentile) const |
| std::vector< Real > | valueAtRisk (Real percentile) const |
| std::vector< Real > | gaussianExpectedShortfall (Real percentile) const |
| std::vector< Real > | expectedShortfall (Real percentile) const |
| std::vector< Real > | regret (Real target) const |
| std::vector< Real > | gaussianShortfall (Real target) const |
| std::vector< Real > | shortfall (Real target) const |
| std::vector< Real > | gaussianAverageShortfall (Real target) const |
| std::vector< Real > | averageShortfall (Real target) const |
| void | reset (Size dimension=0) |
| template<class Sequence > | |
| void | add (const Sequence &sample, Real weight=1.0) |
| template<class Iterator > | |
| void | add (Iterator begin, Iterator end, Real weight=1.0) |
1-dimensional inspectors | |
| Real | discrepancy () const |
| template<class Sequence > | |
| void | add (const Sequence &sample, Real weight=1.0) |
| template<class Iterator > | |
| void | add (Iterator begin, Iterator end, Real weight=1.0) |
| void | reset (Size dimension=0) |
Additional Inherited Members | |
| Protected Attributes inherited from GenericSequenceStatistics< StatisticsType > | |
| Size | dimension_ |
| std::vector< statistics_type > | stats_ |
| std::vector< Real > | results_ |
| Matrix | quadraticSum_ |
Statistic tool for sequences with discrepancy calculation.
It inherit from SequenceStatistics<Statistics> and adds \( L^2 \) discrepancy calculation
