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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_generic_sequence_statistics.html">GenericSequenceStatistics</a></li> </ul>
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<div class="title">GenericSequenceStatistics< StatisticsType > Class Template Reference</div> </div>
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<p>Statistics analysis of N-dimensional (sequence) data.
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<p><code>#include <ql/math/statistics/sequencestatistics.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for GenericSequenceStatistics< StatisticsType >:</div>
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Public Types</h2></td></tr>
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typedef StatisticsType </td><td class="memItemRight" valign="bottom"><b>statistics_type</b></td></tr>
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typedef std::vector< typename StatisticsType::value_type > </td><td class="memItemRight" valign="bottom"><b>value_type</b></td></tr>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>GenericSequenceStatistics</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> dimension=0)</td></tr>
<tr class="separator:afbcdf522cb04d3aa199db19be945285d"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">inspectors</div></td></tr>
<tr class="memitem:acce0ab2cacc475b2434f24c65c91685a"><td class="memItemLeft" align="right" valign="top"><a id="acce0ab2cacc475b2434f24c65c91685a"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr class="separator:acce0ab2cacc475b2434f24c65c91685a"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">covariance and correlation</div></td></tr>
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<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#acaa5ba0eed416cbe9f473c2abcd2bf91">covariance</a> () const</td></tr>
<tr class="memdesc:acaa5ba0eed416cbe9f473c2abcd2bf91"><td class="mdescLeft"> </td><td class="mdescRight">returns the covariance <a class="el" href="class_quant_lib_1_1_matrix.html" title="Matrix used in linear algebra.">Matrix</a> <br /></td></tr>
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<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#a010f1f6b9d492d7cb524cfc3d677144c">correlation</a> () const</td></tr>
<tr class="memdesc:a010f1f6b9d492d7cb524cfc3d677144c"><td class="mdescLeft"> </td><td class="mdescRight">returns the correlation <a class="el" href="class_quant_lib_1_1_matrix.html" title="Matrix used in linear algebra.">Matrix</a> <br /></td></tr>
<tr class="separator:a010f1f6b9d492d7cb524cfc3d677144c"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">1-D inspectors lifted from underlying statistics class</div></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>samples</b> () const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>weightSum</b> () const</td></tr>
<tr class="separator:a26bcd981de6f01be01d748093952ce9b"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">N-D inspectors lifted from underlying statistics class</div></td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>mean</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>variance</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>standardDeviation</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>downsideVariance</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>downsideDeviation</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>semiVariance</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>semiDeviation</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>errorEstimate</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>skewness</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>kurtosis</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>min</b> () const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>max</b> () const</td></tr>
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<tr class="memitem:aeb5a6b47608a6eda36ead0a50e899b4c"><td class="memItemLeft" align="right" valign="top"><a id="aeb5a6b47608a6eda36ead0a50e899b4c"></a>
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianPercentile</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>percentile</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianPotentialUpside</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>potentialUpside</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianValueAtRisk</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>valueAtRisk</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianExpectedShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>expectedShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>regret</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>shortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>gaussianAverageShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const</td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>averageShortfall</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> target) const</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Modifiers</h2></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>dimension_</b></td></tr>
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std::vector< statistics_type > </td><td class="memItemRight" valign="bottom"><b>stats_</b></td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
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<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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void </td><td class="memItemRight" valign="bottom"><b>reset</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> dimension=0)</td></tr>
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template<class Sequence > </td></tr>
<tr class="memitem:a1f278171ca690f5a6c24ca31583fdad6"><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (const Sequence &sample, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> weight=1.0)</td></tr>
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template<class Iterator > </td></tr>
<tr class="memitem:aec007c1f57d0a048f8cc541dc3614137"><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>add</b> (Iterator begin, Iterator end, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> weight=1.0)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class StatisticsType><br />
class QuantLib::GenericSequenceStatistics< StatisticsType ></h3>
<p>Statistics analysis of N-dimensional (sequence) data. </p>
<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>
<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 class="test"><dt><b><a class="el" href="test.html#_test000079">Tests:</a></b></dt><dd>the correctness of the returned values is tested by checking them against numerical calculations. </dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_market_models_8cpp-example.html#_a15">MarketModels.cpp</a>.</dd>
</dl>
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