Package org.drip.measure.statistics

Class MultivariateDiscrete

java.lang.Object
org.drip.measure.statistics.MultivariateDiscrete
public class MultivariateDiscrete
extends java.lang.Object
MultivariateDiscrete analyzes and computes the Moment and Metric Statistics for the Realized Multivariate Sequence. It provides the following Functionality:
  • MultivariateDiscrete Constructor
  • Retrieve the Multivariate Means
  • Retrieve the Multivariate Sequence "Error"
  • Retrieve the Multivariate Covariance
  • Retrieve the Multivariate Correlation
  • Retrieve the Multivariate Variance
  • Retrieve the Multivariate Standard Deviation

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package R1 Rd Thin Thick Moments

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    MultivariateDiscrete​(double[][] sequence)
    MultivariateDiscrete Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] correlation()
    Retrieve the Multivariate Correlation
    double[][] covariance()
    Retrieve the Multivariate Covariance
    double[] error()
    Retrieve the Multivariate Sequence "Error"
    double[] mean()
    Retrieve the Multivariate Means
    double[] standardDeviation()
    Retrieve the Multivariate Standard Deviation
    double[] variance()
    Retrieve the Multivariate Variance

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MultivariateDiscrete

      public MultivariateDiscrete​(double[][] sequence) throws java.lang.Exception
      MultivariateDiscrete Constructor
      Parameters:
      sequence - The Array of Multivariate Realizations
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • mean

      public double[] mean()
      Retrieve the Multivariate Means
      Returns:
      The Multivariate Means

    • error

      public double[] error()
      Retrieve the Multivariate Sequence "Error"
      Returns:
      The Multivariate Sequence "Error"

    • covariance

      public double[][] covariance()
      Retrieve the Multivariate Covariance
      Returns:
      The Multivariate Covariance

    • correlation

      public double[][] correlation()
      Retrieve the Multivariate Correlation
      Returns:
      The Multivariate Correlation

    • variance

      public double[] variance()
      Retrieve the Multivariate Variance
      Returns:
      The Multivariate Variance

    • standardDeviation

      public double[] standardDeviation()
      Retrieve the Multivariate Standard Deviation
      Returns:
      The Multivariate Standard Deviation