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[#]&]
In[126]:=
Out[126]=
In[127]:=
obj=Statistics[Values,{}]
Out[127]=
StatisticsSamples
In[128]:=
StatisticsSamples[obj]
Out[128]=
StatisticsWeightSum
In[129]:=
StatisticsWeightSum[obj]
Out[129]=
StatisticsMean
In[130]:=
StatisticsMean[obj]
Out[130]=
StatisticsVariance
In[131]:=
StatisticsVariance[obj]
Out[131]=
StatisticsStandardDeviation
In[132]:=
StatisticsStandardDeviation[obj]
Out[132]=
StatisticsErrorEstimate
In[133]:=
StatisticsErrorEstimate[obj]
Out[133]=
StatisticsSkewness
In[134]:=
StatisticsSkewness[obj]
Out[134]=
StatisticsKurtosis
In[135]:=
StatisticsKurtosis[obj]
Out[135]=
StatisticsMin
In[136]:=
StatisticsMin[obj]
Out[136]=
StatisticsMax
In[137]:=
StatisticsMax[obj]
Out[137]=
StatisticsPercentile
In[138]:=
In[139]:=
StatisticsPercentile[obj,X]
Out[139]=
StatisticsTopPercentile
In[140]:=
In[141]:=
StatisticsTopPercentile[obj,X]
Out[141]=
StatisticsGaussianDownsideVariance
In[142]:=
StatisticsGaussianDownsideVariance[obj]
Out[142]=
StatisticsGaussianDownsideDeviation
In[143]:=
StatisticsGaussianDownsideDeviation[obj]
Out[143]=
StatisticsGaussianRegret
In[144]:=
In[145]:=
StatisticsGaussianRegret[obj,Target]
Out[145]=
StatisticsGaussianPercentile
In[146]:=
In[147]:=
StatisticsGaussianPercentile[obj,X]
Out[147]=
StatisticsGaussianTopPercentile
In[148]:=
In[149]:=
StatisticsGaussianTopPercentile[obj,X]
Out[149]=
StatisticsGaussianPotentialUpside
In[153]:=
In[154]:=
StatisticsGaussianPotentialUpside[obj,Target]
Out[154]=
StatisticsGaussianValueAtRisk
In[157]:=
In[158]:=
StatisticsGaussianValueAtRisk[obj,Target]
Out[158]=
StatisticsGaussianExpectedShortfall
In[163]:=
In[166]:=
StatisticsGaussianExpectedShortfall[obj,Target]
Out[166]=
StatisticsGaussianShortfall
In[164]:=
In[165]:=
StatisticsGaussianShortfall[obj,Target]
Out[165]=
StatisticsGaussianAverageShortfall
In[167]:=
In[168]:=
StatisticsGaussianAverageShortfall[obj,Target]
Out[168]=
StatisticsSemiVariance
In[169]:=
StatisticsSemiVariance[obj]
Out[169]=
StatisticsSemiDeviation
In[170]:=
StatisticsSemiDeviation[obj]
Out[170]=
StatisticsDownsideVariance
In[171]:=
StatisticsDownsideVariance[obj]
Out[171]=
StatisticsDownsideDeviation
In[172]:=
StatisticsDownsideDeviation[obj]
Out[172]=
StatisticsRegret
In[173]:=
In[174]:=
StatisticsRegret[obj,Target]
Out[174]=
StatisticsPotentialUpside
In[175]:=
In[176]:=
StatisticsPotentialUpside[obj,Centile]
Out[176]=
StatisticsValueAtRisk
In[177]:=
In[178]:=
StatisticsValueAtRisk[obj,Target]
Out[178]=
StatisticsExpectedShortfall
In[179]:=
In[180]:=
StatisticsExpectedShortfall[obj,Centile]
Out[180]=
StatisticsShortfall
In[181]:=
In[182]:=
StatisticsShortfall[obj,Target]
Out[182]=
StatisticsAverageShortfall
In[183]:=
In[184]:=
StatisticsAverageShortfall[obj,Target]
Out[184]=
GaussianDownsideVariance
In[185]:=
GaussianDownsideVariance[]
Out[185]=
GaussianDownsideDeviation
In[186]:=
GaussianDownsideDeviation[]
Out[186]=
GaussianRegret
In[187]:=
In[188]:=
GaussianRegret[Target]
Out[188]=
GaussianPercentile
In[189]:=
GaussianPercentile[X]
Out[189]=
GaussianTopPercentile
In[190]:=
In[191]:=
GaussianTopPercentile[X]
Out[191]=
GaussianPotentialUpside
In[194]:=
In[195]:=
GaussianPotentialUpside[Target]
Out[195]=
GaussianValueAtRisk
In[198]:=
In[199]:=
GaussianValueAtRisk[Target]
Out[199]=
GaussianExpectedShortfall
In[200]:=
In[201]:=
GaussianExpectedShortfall[Target]
Out[201]=
GaussianShortfall
In[202]:=
In[203]:=
GaussianShortfall[Target]
Out[203]=
GaussianAverageShortfall
In[204]:=
In[205]:=
GaussianAverageShortfall[Target]
Out[205]=