Statistics

functions to construct and use Statistics objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the Statistics part there are several constructors and member functions available

Select[Category[Statistics],QLConstructor[#]&]

Select[Category[Statistics],QLMember[#]&]

Select[Category[Statistics],QLProcedure[#]&]

Constructors

Statistics

Statistics.HTML_1.gif

In[126]:=

Statistics.HTML_2.gif

Out[126]=

Statistics.HTML_3.gif

In[127]:=

obj=Statistics[Values,{}]

Out[127]=

Statistics.HTML_4.gif

Member function

StatisticsSamples

In[128]:=

StatisticsSamples[obj]

Out[128]=

Statistics.HTML_5.gif

StatisticsWeightSum

In[129]:=

StatisticsWeightSum[obj]

Out[129]=

Statistics.HTML_6.gif

StatisticsMean

In[130]:=

StatisticsMean[obj]

Out[130]=

Statistics.HTML_7.gif

StatisticsVariance

In[131]:=

StatisticsVariance[obj]

Out[131]=

Statistics.HTML_8.gif

StatisticsStandardDeviation

In[132]:=

StatisticsStandardDeviation[obj]

Out[132]=

Statistics.HTML_9.gif

StatisticsErrorEstimate

In[133]:=

StatisticsErrorEstimate[obj]

Out[133]=

Statistics.HTML_10.gif

StatisticsSkewness

In[134]:=

StatisticsSkewness[obj]

Out[134]=

Statistics.HTML_11.gif

StatisticsKurtosis

In[135]:=

StatisticsKurtosis[obj]

Out[135]=

Statistics.HTML_12.gif

StatisticsMin

In[136]:=

StatisticsMin[obj]

Out[136]=

Statistics.HTML_13.gif

StatisticsMax

In[137]:=

StatisticsMax[obj]

Out[137]=

Statistics.HTML_14.gif

StatisticsPercentile

Statistics.HTML_15.gif

In[138]:=

Statistics.HTML_16.gif

In[139]:=

StatisticsPercentile[obj,X]

Out[139]=

Statistics.HTML_17.gif

StatisticsTopPercentile

Statistics.HTML_18.gif

In[140]:=

Statistics.HTML_19.gif

In[141]:=

StatisticsTopPercentile[obj,X]

Out[141]=

Statistics.HTML_20.gif

StatisticsGaussianDownsideVariance

In[142]:=

StatisticsGaussianDownsideVariance[obj]

Out[142]=

Statistics.HTML_21.gif

StatisticsGaussianDownsideDeviation

In[143]:=

StatisticsGaussianDownsideDeviation[obj]

Out[143]=

Statistics.HTML_22.gif

StatisticsGaussianRegret

Statistics.HTML_23.gif

In[144]:=

Statistics.HTML_24.gif

In[145]:=

StatisticsGaussianRegret[obj,Target]

Out[145]=

Statistics.HTML_25.gif

StatisticsGaussianPercentile

Statistics.HTML_26.gif

In[146]:=

Statistics.HTML_27.gif

In[147]:=

StatisticsGaussianPercentile[obj,X]

Out[147]=

Statistics.HTML_28.gif

StatisticsGaussianTopPercentile

Statistics.HTML_29.gif

In[148]:=

Statistics.HTML_30.gif

In[149]:=

StatisticsGaussianTopPercentile[obj,X]

Out[149]=

Statistics.HTML_31.gif

StatisticsGaussianPotentialUpside

Statistics.HTML_32.gif

In[153]:=

Statistics.HTML_33.gif

In[154]:=

StatisticsGaussianPotentialUpside[obj,Target]

Out[154]=

Statistics.HTML_34.gif

StatisticsGaussianValueAtRisk

Statistics.HTML_35.gif

In[157]:=

Statistics.HTML_36.gif

In[158]:=

StatisticsGaussianValueAtRisk[obj,Target]

Out[158]=

Statistics.HTML_37.gif

StatisticsGaussianExpectedShortfall

Statistics.HTML_38.gif

In[163]:=

Statistics.HTML_39.gif

In[166]:=

StatisticsGaussianExpectedShortfall[obj,Target]

Out[166]=

Statistics.HTML_40.gif

StatisticsGaussianShortfall

Statistics.HTML_41.gif

In[164]:=

Statistics.HTML_42.gif

In[165]:=

StatisticsGaussianShortfall[obj,Target]

Out[165]=

Statistics.HTML_43.gif

StatisticsGaussianAverageShortfall

Statistics.HTML_44.gif

In[167]:=

Statistics.HTML_45.gif

In[168]:=

StatisticsGaussianAverageShortfall[obj,Target]

Out[168]=

Statistics.HTML_46.gif

StatisticsSemiVariance

In[169]:=

StatisticsSemiVariance[obj]

Out[169]=

Statistics.HTML_47.gif

StatisticsSemiDeviation

In[170]:=

StatisticsSemiDeviation[obj]

Out[170]=

Statistics.HTML_48.gif

StatisticsDownsideVariance

In[171]:=

StatisticsDownsideVariance[obj]

Statistics.HTML_49.gif

Out[171]=

Statistics.HTML_50.gif

StatisticsDownsideDeviation

In[172]:=

StatisticsDownsideDeviation[obj]

Statistics.HTML_51.gif

Out[172]=

Statistics.HTML_52.gif

StatisticsRegret

Statistics.HTML_53.gif

In[173]:=

Statistics.HTML_54.gif

In[174]:=

StatisticsRegret[obj,Target]

Statistics.HTML_55.gif

Out[174]=

Statistics.HTML_56.gif

StatisticsPotentialUpside

Statistics.HTML_57.gif

In[175]:=

Statistics.HTML_58.gif

In[176]:=

StatisticsPotentialUpside[obj,Centile]

Statistics.HTML_59.gif

Out[176]=

Statistics.HTML_60.gif

StatisticsValueAtRisk

Statistics.HTML_61.gif

In[177]:=

Statistics.HTML_62.gif

In[178]:=

StatisticsValueAtRisk[obj,Target]

Statistics.HTML_63.gif

Out[178]=

Statistics.HTML_64.gif

StatisticsExpectedShortfall

Statistics.HTML_65.gif

In[179]:=

Statistics.HTML_66.gif

In[180]:=

StatisticsExpectedShortfall[obj,Centile]

Statistics.HTML_67.gif

Out[180]=

Statistics.HTML_68.gif

StatisticsShortfall

Statistics.HTML_69.gif

In[181]:=

Statistics.HTML_70.gif

In[182]:=

StatisticsShortfall[obj,Target]

Out[182]=

Statistics.HTML_71.gif

StatisticsAverageShortfall

Statistics.HTML_72.gif

In[183]:=

Statistics.HTML_73.gif

In[184]:=

StatisticsAverageShortfall[obj,Target]

Statistics.HTML_74.gif

Out[184]=

Statistics.HTML_75.gif

Procedures

GaussianDownsideVariance

Statistics.HTML_76.gif

In[185]:=

GaussianDownsideVariance[]

Out[185]=

Statistics.HTML_77.gif

GaussianDownsideDeviation

Statistics.HTML_78.gif

In[186]:=

GaussianDownsideDeviation[]

Out[186]=

Statistics.HTML_79.gif

GaussianRegret

Statistics.HTML_80.gif

Statistics.HTML_81.gif

In[187]:=

Statistics.HTML_82.gif

In[188]:=

GaussianRegret[Target]

Out[188]=

Statistics.HTML_83.gif

GaussianPercentile

Statistics.HTML_84.gif

Statistics.HTML_85.gif

Statistics.HTML_86.gif

In[189]:=

GaussianPercentile[X]

Out[189]=

Statistics.HTML_87.gif

GaussianTopPercentile

Statistics.HTML_88.gif

Statistics.HTML_89.gif

In[190]:=

Statistics.HTML_90.gif

In[191]:=

GaussianTopPercentile[X]

Out[191]=

Statistics.HTML_91.gif

GaussianPotentialUpside

Statistics.HTML_92.gif

Statistics.HTML_93.gif

In[194]:=

Statistics.HTML_94.gif

In[195]:=

GaussianPotentialUpside[Target]

Out[195]=

Statistics.HTML_95.gif

GaussianValueAtRisk

Statistics.HTML_96.gif

Statistics.HTML_97.gif

In[198]:=

Statistics.HTML_98.gif

In[199]:=

GaussianValueAtRisk[Target]

Out[199]=

Statistics.HTML_99.gif

GaussianExpectedShortfall

Statistics.HTML_100.gif

Statistics.HTML_101.gif

In[200]:=

Statistics.HTML_102.gif

In[201]:=

GaussianExpectedShortfall[Target]

Out[201]=

Statistics.HTML_103.gif

GaussianShortfall

Statistics.HTML_104.gif

Statistics.HTML_105.gif

In[202]:=

Statistics.HTML_106.gif

In[203]:=

GaussianShortfall[Target]

Out[203]=

Statistics.HTML_107.gif

GaussianAverageShortfall

Statistics.HTML_108.gif

Statistics.HTML_109.gif

In[204]:=

Statistics.HTML_110.gif

In[205]:=

GaussianAverageShortfall[Target]

Out[205]=

Statistics.HTML_111.gif

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