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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html">GenericSequenceStatistics</a></div>
<h1>GenericSequenceStatistics Class Template Reference</h1><!-- doxytag: class="QuantLib::GenericSequenceStatistics" --><code>#include <ql/Math/sequencestatistics.hpp></code>
<p>
Inheritance diagram for GenericSequenceStatistics:<p><center><img src="class_quant_lib_1_1_generic_sequence_statistics__inherit__graph.png" border="0" usemap="#_generic_sequence_statistics__inherit__map" alt="Inheritance graph"></center>
<map name="_generic_sequence_statistics__inherit__map">
<area href="class_quant_lib_1_1_discrepancy_statistics.html" shape="rect" coords="24,81,189,105" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_generic_sequence_statistics-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class StatisticsType = Statistics><br>
class QuantLib::GenericSequenceStatistics< StatisticsType ></h3>
Statistics analysis of N-dimensional (sequence) data.
<p>
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.<p>
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.<p>
<dl compact><dt><b><a class="el" href="test.html#_test000047">Tests:</a></b></dt><dd>the correctness of the returned values is tested by checking them against numerical calculations. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="432b0207d0c29af4568812e45096b424"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::statistics_type" ref="432b0207d0c29af4568812e45096b424" args="" -->
typedef StatisticsType </td><td class="memItemRight" valign="bottom"><b>statistics_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8dd99e1d97911568752102c50ddcef34"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::value_type" ref="8dd99e1d97911568752102c50ddcef34" args="" -->
typedef std::vector< typename <br>
StatisticsType::value_type > </td><td class="memItemRight" valign="bottom"><b>value_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5f1f72b73228bcd186c335e65803456e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::GenericSequenceStatistics" ref="5f1f72b73228bcd186c335e65803456e" args="(Size dimension)" -->
</td><td class="memItemRight" valign="bottom"><b>GenericSequenceStatistics</b> (Size dimension)</td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cce0ab2cacc475b2434f24c65c91685a"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::size" ref="cce0ab2cacc475b2434f24c65c91685a" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr><td colspan="2"><div class="groupHeader">covariance and correlation</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="caa5ba0eed416cbe9f473c2abcd2bf91"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::covariance" ref="caa5ba0eed416cbe9f473c2abcd2bf91" args="() const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html#caa5ba0eed416cbe9f473c2abcd2bf91">covariance</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the covariance <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="010f1f6b9d492d7cb524cfc3d677144c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::correlation" ref="010f1f6b9d492d7cb524cfc3d677144c" args="() const" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html#010f1f6b9d492d7cb524cfc3d677144c">correlation</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the correlation <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">1-D inspectors lifted from underlying statistics class</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="03dada9122edc892727a207cbbe93427"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::samples" ref="03dada9122edc892727a207cbbe93427" args="() const" -->
Size </td><td class="memItemRight" valign="bottom"><b>samples</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="26bcd981de6f01be01d748093952ce9b"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::weightSum" ref="26bcd981de6f01be01d748093952ce9b" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>weightSum</b> () const</td></tr>
<tr><td colspan="2"><div class="groupHeader">N-D inspectors lifted from underlying statistics class</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f800da8a6eed3fb696398d4256b85958"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::mean" ref="f800da8a6eed3fb696398d4256b85958" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>mean</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="571efb47652ab08577f00abc063e4f09"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::variance" ref="571efb47652ab08577f00abc063e4f09" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>variance</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="482f17db8d6be4fc4a9513cdff9b5a78"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::standardDeviation" ref="482f17db8d6be4fc4a9513cdff9b5a78" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>standardDeviation</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="acdbedddf1ac45173c1edf96d00aa2f1"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::downsideVariance" ref="acdbedddf1ac45173c1edf96d00aa2f1" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>downsideVariance</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9304d650f39377fb6bfb3d04040c390e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::downsideDeviation" ref="9304d650f39377fb6bfb3d04040c390e" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>downsideDeviation</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f366e6653489c573b2c0b83e6c59294c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::semiVariance" ref="f366e6653489c573b2c0b83e6c59294c" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>semiVariance</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="431284059b3150018be6f9966e052f99"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::semiDeviation" ref="431284059b3150018be6f9966e052f99" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>semiDeviation</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="779340487e0a47af3a872751b71b837b"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::errorEstimate" ref="779340487e0a47af3a872751b71b837b" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>errorEstimate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cae04afdfe2958052ce447f96bdb864f"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::skewness" ref="cae04afdfe2958052ce447f96bdb864f" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>skewness</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6a05993169f8f8cfb60e4a7cc207a7d4"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::kurtosis" ref="6a05993169f8f8cfb60e4a7cc207a7d4" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>kurtosis</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="52c1e66540515de27871a80944f1924d"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::min" ref="52c1e66540515de27871a80944f1924d" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>min</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d628590896c8940c62b3bd3dbf21eda"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::max" ref="0d628590896c8940c62b3bd3dbf21eda" args="() const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>max</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb5a6b47608a6eda36ead0a50e899b4c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianPercentile" ref="eb5a6b47608a6eda36ead0a50e899b4c" args="(Real y) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianPercentile</b> (Real y) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ad9c4efb952e3325e3124f825778974a"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::percentile" ref="ad9c4efb952e3325e3124f825778974a" args="(Real y) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>percentile</b> (Real y) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e235187f400db499acfb06d19e73a096"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianPotentialUpside" ref="e235187f400db499acfb06d19e73a096" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianPotentialUpside</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d5080a7c20d04f1232909f2ca1f5916"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::potentialUpside" ref="9d5080a7c20d04f1232909f2ca1f5916" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>potentialUpside</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="47f0937bbe952be44b94971960618d87"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianValueAtRisk" ref="47f0937bbe952be44b94971960618d87" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianValueAtRisk</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="97b44efbf1eaff79617563a20a867478"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::valueAtRisk" ref="97b44efbf1eaff79617563a20a867478" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>valueAtRisk</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="62ac624646a2b3f2253b6df06320de6b"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianExpectedShortfall" ref="62ac624646a2b3f2253b6df06320de6b" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianExpectedShortfall</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06ebc4e959e0f61aeb3e0ff9d050a4ea"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::expectedShortfall" ref="06ebc4e959e0f61aeb3e0ff9d050a4ea" args="(Real percentile) const" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>expectedShortfall</b> (Real percentile) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="17d2abbab64d9514dba9a21d71c914d7"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::regret" ref="17d2abbab64d9514dba9a21d71c914d7" args="(Real target) const " -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>regret</b> (Real target) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9359b0d4904d74a521b73927679ac98c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianShortfall" ref="9359b0d4904d74a521b73927679ac98c" args="(Real target) const " -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianShortfall</b> (Real target) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e5daee08ad4ef07a3cfc69efda097f0"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::shortfall" ref="9e5daee08ad4ef07a3cfc69efda097f0" args="(Real target) const " -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>shortfall</b> (Real target) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c82b1d32c521abdcdf2df5ca2e31fa52"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::gaussianAverageShortfall" ref="c82b1d32c521abdcdf2df5ca2e31fa52" args="(Real target) const " -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>gaussianAverageShortfall</b> (Real target) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bfe0667817541e44f9f42f8479d0f89d"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::averageShortfall" ref="bfe0667817541e44f9f42f8479d0f89d" args="(Real target) const " -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>averageShortfall</b> (Real target) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="58bd77d1d091d636b8d5400814152bc5"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::reset" ref="58bd77d1d091d636b8d5400814152bc5" args="(Size dimension=0)" -->
void </td><td class="memItemRight" valign="bottom"><b>reset</b> (Size dimension=0)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="1b7e5b2f029dfe0c35fd314a5b8e52a7"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::add" ref="1b7e5b2f029dfe0c35fd314a5b8e52a7" args="(const Sequence &sample, Real weight=1.0)" -->
template<class Sequence> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (const Sequence &sample, Real weight=1.0)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="62eb09e10afc6fb8734e21a84f1b6281"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::add" ref="62eb09e10afc6fb8734e21a84f1b6281" args="(Iterator begin, Iterator end, Real weight=1.0)" -->
template<class Iterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (Iterator begin, Iterator end, Real weight=1.0)</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="101ac2fd4059964925dda5d18055f99c"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::dimension_" ref="101ac2fd4059964925dda5d18055f99c" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>dimension_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7be4ef03e92a452316a435427a8c048e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::stats_" ref="7be4ef03e92a452316a435427a8c048e" args="" -->
std::vector< statistics_type > </td><td class="memItemRight" valign="bottom"><b>stats_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7efaf9c624aded4fa10a3917f523642e"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::results_" ref="7efaf9c624aded4fa10a3917f523642e" args="" -->
std::vector< Real > </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c7bc1d4bf5808900f134e92c1ad1760a"></a><!-- doxytag: member="QuantLib::GenericSequenceStatistics::quadraticSum_" ref="c7bc1d4bf5808900f134e92c1ad1760a" args="" -->
<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> </td><td class="memItemRight" valign="bottom"><b>quadraticSum_</b></td></tr>
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