AssetStats

rustkernel_risk::correlation

Struct AssetStats 

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pub struct AssetStats {
    pub count: u64,
    pub mean: f64,
    pub m2: f64,
    pub last_value: f64,
    pub last_timestamp: u64,
}
Expand description

Running statistics for a single asset (Welford’s algorithm).

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§count: u64

Count of observations.

§mean: f64

Running mean.

§m2: f64

Running sum of squared deviations (M2).

§last_value: f64

Last observed value.

§last_timestamp: u64

Last update timestamp.

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impl AssetStats

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pub fn update(&mut self, value: f64, timestamp: u64)

Update stats with a new observation using Welford’s algorithm.

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pub fn variance(&self) -> f64

Get variance.

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pub fn std_dev(&self) -> f64

Get standard deviation.

Trait Implementations§

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impl Clone for AssetStats

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fn clone(&self) -> AssetStats

Returns a duplicate of the value. Read more
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fn clone_from(&mut self, source: &Self)

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

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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 AssetStats

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fn default() -> AssetStats

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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