PairwiseStats

rustkernel_risk::correlation

Struct PairwiseStats 

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pub struct PairwiseStats {
    pub count: u64,
    pub mean_i: f64,
    pub mean_j: f64,
    pub co_moment: f64,
}
Expand description

Running covariance between two assets.

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§count: u64

Count of paired observations.

§mean_i: f64

Mean of asset i values.

§mean_j: f64

Mean of asset j values.

§co_moment: f64

Co-moment sum (for covariance calculation).

Implementations§

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impl PairwiseStats

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pub fn update(&mut self, value_i: f64, value_j: f64)

Update with new paired observations (Welford’s parallel algorithm).

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pub fn covariance(&self) -> f64

Get covariance.

Trait Implementations§

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impl Clone for PairwiseStats

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fn clone(&self) -> PairwiseStats

Returns a duplicate of the value. Read more
1.0.0 · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for PairwiseStats

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more
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impl Default for PairwiseStats

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fn default() -> PairwiseStats

Returns the “default value” for a type. Read more

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🔬This is a nightly-only experimental API. (clone_to_uninit)
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