Expand description
Statistics accumulators ported from ql/math/statistics/.
QuantLib layers its statistics tools through class templates
(GenericGaussianStatistics<S>, GenericRiskStatistics<S>); we express
the same genericity over the sample accumulator with traits:
MeanStdDev is the minimal interface (what a precomputed-distribution
holder provides), Statistics the full accumulator interface, and
EmpiricalStatistics the extra interface of accumulators that keep the
whole sample set, such as GeneralStatistics.
Structs§
- General
Statistics - Statistics tool accumulating the full sample set.
- Histogram
- Histogram of a given data set.
- Incremental
Statistics - Single-pass statistics accumulator; it keeps running moments instead of the samples themselves.
- Stats
Holder - Precomputed mean/standard-deviation pair, for taking gaussian risk measures of an already-summarized distribution.
Enums§
- Histogram
Algorithm - Algorithm choosing the number of bins from the data.
Traits§
- Empirical
Statistics - Extra interface of accumulators that store the full sample set and can thus answer questions about the empirical distribution.
- Gaussian
Statistics - Gaussian-assumption risk measures derived from a mean and a standard deviation.
- Mean
StdDev - Mean and standard deviation of a distribution, the minimal interface required by the gaussian-assumption risk measures.
- Risk
Statistics - Risk measures based on the empirical distribution of the accumulated samples.
- Statistics
- Interface of the sample accumulators (QuantLib’s statistics tool concept): weighted samples go in, moment estimates come out.