src/Statistics/Statistics.h file

Statistics class declaration.

Contents

This file implements a statistics class that can be used to estimate statistics from an ensemble. Supported at this time are ordinary and central statistical moments of arbitrary-length products and arbitrary number of 1D, 2D, and 3D probability density functions (PDF) with sample spaces of ordinary and/or central sample space variables.

Definitions and nomenclature:

  • Upper-case letters denote a full random variable, e.g., X
  • Lower-case letters denote a fluctuation about the mean, i.e., x = X - <X>
  • Letters can be augmented by a field ID, i.e., X2 is the full variable of the second component of the vector X, while x1 = X1 - <X1> is the fluctuation about the mean of the first component of vector X.
  • If the field ID is unspecified, it defaults to the first field, i.e., X = X1, x = x1, etc.
  • Statistical moments of arbitrary-length products can be computed.

    Examples:

    • <X> - mean,
    • <xx> - variance,
    • <xxx> - third central moment,
    • <xy> - covariance of X and Y,
    • <x1y2> - covariance of the first component of vector X and the second component of vector Y
  • In general, arbitrary-length products can be estimated that make up a statistical moment, using any number and combinations of upper and lower-case letters and their field IDs < [A-Za-z][1-9] ... >.
  • A statistical moment is ordinary if and only if all of its terms are ordinary. A central moment has at least one term that is central, i.e., a fluctuation about its mean.
    • Examples of ordinary moments: <X>, <XX>, <XYZ>, etc.
    • Examples of central moments: <x1x2>, <Xy>, <XYz>, etc.
  • Estimation of the PDFs can be done using either ordinary or central sample space variables.

    Examples:

    • p(X) denotes the univariate PDF of the full variable X,
    • f(x1,x2) denotes the bivariate joint PDF of the fluctuations of the variables x1 and x2 about their respective means,
    • g(X,y,Z2) denotes the trivariate joint PDF of variables X, y = Y - <Y>, and Z2.

Namespaces

namespace tk
Toolkit declarations and definitions for general purpose utilities.

Classes

class tk::Statistics
Statistics estimator.