bdlsta::Moment< ML > Class Template Reference

#include <bdlsta_moment.h>

Public Types
enum	{ e_SUCCESS = 0 , e_INADEQUATE_DATA = -1 }

Public Member Functions
void	add (double value)
	Add the specified value to the data set.
int	count () const
	Returns the number of elements in the data set.
double	kurtosis () const
int	kurtosisIfValid (double *result) const
double	mean () const
int	meanIfValid (double *result) const
double	skew () const
int	skewIfValid (double *result) const
double	variance () const
int	varianceIfValid (double *result) const
void	add (double value)
void	add (double value)
void	add (double value)
void	add (double value)
double	kurtosis () const
int	kurtosisIfValid (double *result) const

Detailed Description

template<MomentLevel::Enum ML>
class bdlsta::Moment< ML >

This class provides efficient and accurate online algorithms for calculating mean, variance, skew, and kurtosis. The class provides template specializations, so that no unnecessary data members will be kept or unnecessary calculations done. The online algorithms used are Welford for variance, and the stable M3 and M4 are taken from: https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Higher-order_statistics

The formula for sample skewness is taken from: http://www.macroption.com/skewness-formula/

The formula for sample excess kurtosis is taken from: http://www.macroption.com/kurtosis-formula/

See bdlsta_moment

Member Enumeration Documentation

anonymous enum

template<MomentLevel::Enum ML>

anonymous enum

Enumerator
e_SUCCESS
e_INADEQUATE_DATA

Member Function Documentation

add() [1/5]

template<MomentLevel::Enum ML>

void bdlsta::Moment< ML >::add

(

double

value

)

add() [2/5]

void bdlsta::Moment< MomentLevel::e_M1 >::add ( double  value )

inline

add() [3/5]

void bdlsta::Moment< MomentLevel::e_M2 >::add ( double  value )

inline

add() [4/5]

void bdlsta::Moment< MomentLevel::e_M3 >::add ( double  value )

inline

add() [5/5]

void bdlsta::Moment< MomentLevel::e_M4 >::add ( double  value )

inline

count()

template<MomentLevel::Enum ML>

int bdlsta::Moment< ML >::count ( ) const

inline

kurtosis() [1/2]

template<MomentLevel::Enum ML>

double bdlsta::Moment< ML >::kurtosis

(

)

const

Return the kurtosis of the data set. The behavior is undefined unless 4 <= count and the variance is not zero.

kurtosis() [2/2]

double bdlsta::Moment< MomentLevel::e_M4 >::kurtosis ( ) const

inline

kurtosisIfValid() [1/2]

template<MomentLevel::Enum ML>

int bdlsta::Moment< ML >::kurtosisIfValid

(

double *

result

)

const

Load into the specified result, the kurtosis of the data set. Return 0 on success, and a non-zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 4 > count or the variance is zero.

kurtosisIfValid() [2/2]

int bdlsta::Moment< MomentLevel::e_M4 >::kurtosisIfValid ( double *  result ) const

inline

mean()

template<MomentLevel::Enum ML>

double bdlsta::Moment< ML >::mean ( ) const

inline

Return the mean of the data set. The behavior is undefined unless 1 <= count.

meanIfValid()

template<MomentLevel::Enum ML>

int bdlsta::Moment< ML >::meanIfValid ( double *  result ) const

inline

Load into the specified result, the mean of the data set. Return 0 on success, and a non-zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 1 > count.

skew()

template<MomentLevel::Enum ML>

double bdlsta::Moment< ML >::skew ( ) const

inline

Return skew of the data set. The behavior is undefined unless 3 <= count or the variance is zero.

skewIfValid()

template<MomentLevel::Enum ML>

int bdlsta::Moment< ML >::skewIfValid ( double *  result ) const

inline

Load into the specified result, the skew of the data set. Return 0 on success, and a non-zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 3 > count or the variance is zero.

variance()

template<MomentLevel::Enum ML>

double bdlsta::Moment< ML >::variance ( ) const

inline

Return the variance of the data set. The behavior is undefined unless 2 <= count.

varianceIfValid()

template<MomentLevel::Enum ML>

int bdlsta::Moment< ML >::varianceIfValid ( double *  result ) const

inline

Load into the specified result, the variance of the data set. Return 0 on success, and a non-zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 2 > count.

---

The documentation for this class was generated from the following file:

• bdlsta_moment.h