Statistic tool for sequences with discrepancy calculation. More...
#include <ql/math/statistics/discrepancystatistics.hpp>
 Inheritance diagram for DiscrepancyStatistics:
 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) | |
| 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) | 
| 1-dimensional inspectors | |
| Real | discrepancy () const | 
|  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) | 
| 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