QuantLib 0.3.3
User manual
Introduction to QuantLib
QuantLib components
Reference manual
MultivariateAccumulator Class Reference
#include <multivariateaccumulator.hpp>
Detailed Description
A sample accumulator for multivariate analysis.MultivariateAccumulator can accumulate vector-type samples and return the average vector, both in Array form and std::vector<double> form, and the covariance matrix
- Deprecated:
- use SequenceStatistics instead
Public Member Functions | |
| MultivariateAccumulator (Size size) | |
Inspectors | |
| Size | size () const |
| size of each sample | |
| Size | samples () const |
| number of samples collected | |
| double | weightSum () const |
| sum of data weights | |
| Disposable< Array > | mean () const |
| returns the mean as an Array | |
| std::vector< double > | meanVector () const |
| returns the mean as a std::vector<double> | |
| Matrix | covariance () const |
| returns the covariance Matrix | |
| Matrix | correlation () const |
| returns the correlation Matrix | |
Modifiers | |
| void | add (const Array &arr, double weight=1.0) |
| adds an Array to the collection, possibly with a weight | |
| void | add (const std::vector< double > &vec, double weight=1.0) |
| adds a vector<double> to the collection, possibly with a weight | |
| template<class DataIterator> void | addSequence (DataIterator begin, DataIterator end) |
| adds a sequence of data to the collection | |
| template<class DataIterator, class WeightIterator> void | addSequence (DataIterator begin, DataIterator end, WeightIterator wbegin) |
| adds a sequence of data to the collection, each with its weight | |
| void | reset () |
| resets the data to a null set | |
The documentation for this class was generated from the following files:
- ql/Math/multivariateaccumulator.hpp
- ql/Math/multivariateaccumulator.cpp
