Deedle

Stats

Namespace: Deedle.Math

Statistical analysis using MathNet.Numerics

Table of contents

Correlation and Covariance 

Static members

Static memberDescription
Stats.corr(s1, s2, method)
Signature: (s1:Series<'K,float> * s2:Series<'K,float> * method:CorrelationMethod option) -> '?693891
Type parameters: 'K, '?693891

Correlation of two series
Stats.corr(df, method)
Signature: (df:Frame<'R,'C> * method:CorrelationMethod option) -> Frame<'C,'C>
Type parameters: 'R, 'C

Correlation frame
Stats.corr2Cov(sigmaSeries, corrFrame)
Signature: (sigmaSeries:Series<'C,float> * corrFrame:Frame<'C,'C>) -> Frame<'C,'C>
Type parameters: 'C

Convert standard deviation series and correlation frame to covariance frame
Stats.corrMatrix(df, method)
Signature: (df:Frame<'R,'C> * method:CorrelationMethod option) -> Matrix<float>
Type parameters: 'R, 'C

Correlation matrix
Stats.cov(df)
Signature: df:Frame<'R,'C> -> Frame<'C,'C>
Type parameters: 'R, 'C

Covariance frame
Stats.cov2Corr(covFrame)
Signature: covFrame:Frame<'C,'C> -> Series<'C,float> * Frame<'C,'C>
Type parameters: 'C

Convert covariance matrix to standard deviation series and correlation frame
Stats.covMatrix(df)
Signature: df:Frame<'R,'C> -> Matrix<float>
Type parameters: 'R, 'C

Covariance matrix

Descriptive Statistics 

Static members

Static memberDescription
Stats.median(df)
Signature: df:Frame<'R,'C> -> Series<'C,float>
Type parameters: 'R, 'C

Median of Frame
Stats.median(series)
Signature: series:Series<'R,^V> -> float
Type parameters: 'R, ^V

Median of Series
Stats.quantile(df, tau, definition)
Signature: (df:Frame<'R,'C> * tau:float * definition:QuantileDefinition option) -> Series<'C,float>
Type parameters: 'R, 'C

Quantile of Frame
Stats.quantile(series, tau, definition)
Signature: (series:Series<'R,^V> * tau:float * definition:QuantileDefinition option) -> float
Type parameters: 'R, ^V

Quantile
Stats.ranks(df, rankDefinition)
Signature: (df:Frame<'R,'C> * rankDefinition:RankDefinition option) -> Frame<'R,'C>
Type parameters: 'R, 'C

Ranks of Frame
Stats.ranks(series, rankDefinition)
Signature: (series:Series<'R,^V> * rankDefinition:RankDefinition option) -> Series<'R,float>
Type parameters: 'R, ^V

Ranks of Series

Exponentially Weighted Moving 

Static members

Static memberDescription
Stats.ewmMean(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Frame<'R,'C>
Type parameters: 'R, 'C

Exponentially weighted moving average on frame
Stats.ewmMean(...)
Signature: (x:Series<'R,float> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,float>
Type parameters: 'R

Exponentially weighted moving average on series

Moving statistics 

Static members

Static memberDescription
Stats.movingCovarianceParallel window df
Signature: window:int -> df:Frame<'R,'C> -> Series<'R,Matrix<float>>
Type parameters: 'R, 'C

Moving covariance of frame (parallel implementation)
Stats.movingStdDevParallel window df
Signature: window:int -> df:Frame<'R,'C> -> Frame<'R,'C>
Type parameters: 'R, 'C

Moving standard deviation (parallel implementation)
Stats.movingVarianceParallel window df
Signature: window:int -> df:Frame<'R,'C> -> Frame<'R,'C>
Type parameters: 'R, 'C

Moving variance of frame (parallel implementation)
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