org.drip.measure.statistics

Class MultivariateMoments

java.lang.Object

org.drip.measure.statistics.MultivariateMoments

public class MultivariateMoments
extends java.lang.Object

MultivariateMoments generates and holds the Specified Multivariate Series Mean, Co-variance, and other selected Moments.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
boolean	addCovariance(java.lang.String strVariate1Name, java.lang.String strVariate2Name, double dblCovariance) Add the Co-variance for the Named Variate Pair
boolean	addMean(java.lang.String strVariateName, double dblMean) Add the Mean for the Named Variate
double	correlation(java.lang.String strVariate1Name, java.lang.String strVariate2Name) Retrieve the Correlation between the Named Variate Pair
double	covariance(java.lang.String strVariate1Name, java.lang.String strVariate2Name) Retrieve the Co-variance of the Named Variate Pair
double	mean(java.lang.String strVariateName) Retrieve the Mean of the Named Variate
int	numVariate() Retrieve the Number of Variates in the Distribution
static MultivariateMoments	Standard(java.lang.String[] astrVariateName, double[][] aadblVariate) Generate the MultivariateMetrics Instance from the Series Realizations provided
static MultivariateMoments	Standard(java.lang.String[] astrVariateName, double[] adblMean, double[][] aadblCovariance) Generate the MultivariateMetrics Instance from the Specified Mean and Co-variance Inputs
double	variance(java.lang.String strVariateName) Retrieve the Variance of the Named Variate
java.util.Set<java.lang.String>	variateList() Retrieve the Variates for which the Metrics are available

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

Standard

public static final MultivariateMoments Standard(java.lang.String[] astrVariateName,
                                                 double[][] aadblVariate)

Generate the MultivariateMetrics Instance from the Series Realizations provided

Parameters:

astrVariateName - Array of Variate Name Headers

aadblVariate - Array of Variate Realization Arrays

Returns:

The MultivariateMetrics Instance

Standard

public static final MultivariateMoments Standard(java.lang.String[] astrVariateName,
                                                 double[] adblMean,
                                                 double[][] aadblCovariance)

Generate the MultivariateMetrics Instance from the Specified Mean and Co-variance Inputs

Parameters:

astrVariateName - Array of Variate Name Headers

adblMean - Array of Variate Means

aadblCovariance - Double Array of the Variate Co-variance

Returns:

The MultivariateMetrics Instance

numVariate

public int numVariate()

Retrieve the Number of Variates in the Distribution

Returns:

The Number of Variates in the Distribution

variateList

public java.util.Set<java.lang.String> variateList()

Retrieve the Variates for which the Metrics are available

Returns:

The Set of Variates

addMean

public boolean addMean(java.lang.String strVariateName,
                       double dblMean)

Add the Mean for the Named Variate

Parameters:

strVariateName - The Named Variate

dblMean - The Variate Mean

Returns:

TRUE - The Variate Mean successfully added

mean

public double mean(java.lang.String strVariateName)
            throws java.lang.Exception

Retrieve the Mean of the Named Variate

Parameters:

strVariateName - The Named Variate

Returns:

Mean of the Named Variate

Throws:

java.lang.Exception - Thrown if the Named Variate Mean cannot be retrieved

addCovariance

public boolean addCovariance(java.lang.String strVariate1Name,
                             java.lang.String strVariate2Name,
                             double dblCovariance)

Add the Co-variance for the Named Variate Pair

Parameters:

strVariate1Name - The Named Variate #1

strVariate2Name - The Named Variate #2

dblCovariance - The Variate Mean

Returns:

TRUE - The Variate Pair Co-variance successfully added

variance

public double variance(java.lang.String strVariateName)
                throws java.lang.Exception

Retrieve the Variance of the Named Variate

Parameters:

strVariateName - The Named Variate

Returns:

Variance of the Named Variate

Throws:

java.lang.Exception - Thrown if the Named Variate Variance cannot be retrieved

covariance

public double covariance(java.lang.String strVariate1Name,
                         java.lang.String strVariate2Name)
                  throws java.lang.Exception

Retrieve the Co-variance of the Named Variate Pair

Parameters:

strVariate1Name - The Named Variate #1

strVariate2Name - The Named Variate #2

Returns:

Co-variance of the Named Variate Pair

Throws:

java.lang.Exception - Thrown if the Named Variate Co-variance cannot be retrieved

correlation

public double correlation(java.lang.String strVariate1Name,
                          java.lang.String strVariate2Name)
                   throws java.lang.Exception

Retrieve the Correlation between the Named Variate Pair

Parameters:

strVariate1Name - The Named Variate #1

strVariate2Name - The Named Variate #2

Returns:

Correlation between the Named Variate Pair

Throws:

java.lang.Exception - Thrown if the Named Variate Correlation cannot be retrieved