Statistics and Time-series functions. More...

Topics
	Configurations
	Initialize the Analytics modulke Environment (e.g., temp file folder).

	Descriptive Statistics
	Descriptive or summary statistical metrics of a dataset.

	Statistical Testing
	Statistical/hypothesis testing is a common method of drawing inferences about a population based on statistical evidence from a sample.

	Forecast Performance
	Statistical metrics for a forecast performance functions,.

	Transfom
	Common transform function for data set in preparation for further analysis.

	Statistical Sampling
	Statistical Sampling functions.

	Smoothing
	Smoothing API functions calls.

	Factors Analysis
	Factors Analysis.

	ARMA-ARIMA Analysis
	Autoregressive Moving Average (ARMA) Analysis.

	ARCH-GARCH Analysis
	ARCH/GARCH Analysis.

	Speactral Analysis
	Spectral Analytis functions.

	Portfolio Analysis
	Portfolio Analysis functions.

	Data Fitting
	Data Fitting functions.

	Utilities
	Miscellanous utility functions.

Enumerations
enum	GOODNESS_OF_FIT_FUNC { GOF_LLF =1 , GOF_AIC =2 , GOF_BIC =3 , GOF_HQC =4 , GOF_RSQ =5 , GOF_ARSQ =6 }

enum	FIT_RETVAL_FUNC { FIT_MEAN =1 , FIT_STDEV =2 , FIT_RESID =3 , FIT_STD_RESID =4 }

enum	RESID_RETVAL_FUNC { RESIDS_STD =1 , RESIDS_RAW =2 }

enum	MODEL_RETVAL_FUNC { PARAM_GUESS =1 , PARAM_CALIBRATE =2 , PARAM_ERROR =3 }

enum	FORECAST_RETVAL_FUNC { FORECAST_MEAN =1 , FORECAST_STDEV =2 , FORECAST_TS_STDEV =3 , FORECAST_LL =4 , FORECAST_UL =5 }

Detailed Description

Statistics and Time-series analytical functions.

Enumeration Type Documentation

Enumerator
FIT_MEAN	Fitted conditional mean.
FIT_STDEV	Fitted conditional volatility or standard deviation.
FIT_RESID	Raw residuals (actual - fitted mean)
FIT_STD_RESID	Standardized residuals - (actual - fitted mean)/fitted volatility.

Enumerator
FORECAST_MEAN	Mean forecast value.
FORECAST_STDEV	Forecast standard error (aka local volatility)
FORECAST_TS_STDEV	Volatility term structure.
FORECAST_LL	Lower limit of the forecast confidence interval.
FORECAST_UL	Upper limit of the forecast confidence interval.

See also

Enumerator
GOF_LLF	Log-likelihood goodness of fit measure.
GOF_AIC	Akaike information criterion goodness of fit measure.
GOF_BIC	Bayesian or Schwartz information criterion goodness of fit measure.
GOF_HQC	Hannan-Quinn information criterion goodness of fit measure.
GOF_RSQ	R-squared goodness of fit measure.
GOF_ARSQ	Adjusted R-squared goodness of fit measure.

A list of integer values accepted in the retType argument of the *_PARAM(.) functions when specifying the desired output.

Enumerator
PARAM_GUESS	Quick guess (non-optimal) of parameters values.
PARAM_CALIBRATE	Run a calibration process to find optimal values for the model's parameters.
PARAM_ERROR	Compute the standard error of the parameters' values.

Enumerator
RESIDS_STD	Standardized residuals.
RESIDS_RAW	Raw residuals.