Documentations

List of functions available in the toolbox

Binning

QRS.BIN.EQFREQ

Returns the frequency table for data binned by equal frequency.

QRS.BIN.EQWIDTH

Returns the frequency table for data binned by equal width.

QRS.BIN.UNIQUE

Returns the frequency table for data binned by unique values.

QRS.BIN.MONO

Returns the frequency table for data binned by monotonic trend.

QRS.BIN.MANUAL

Returns the frequency table for data binned manually.

QRS.BIN.MAP

Returns the values of data mapped into bins.

Value-at-risk

QRS.VAR.NORMAL

Returns value-at-risk for the normal distribution.

QRS.VAR.PEARSON

Returns value-at-risk for the Pearson distribution.

QRS.VAR.JOHNSON

Returns value-at-risk for the Johnson distribution.

Expected shortfall

QRS.ES.NORMAL

Returns expected shortfall for the normal distribution.

QRS.ES.PEARSON

Returns expected shortfall for the Pearson distribution.

QRS.ES.JOHNSON

Returns expected shortfall for the Johnson distribution.

Monte Carlo simulation

QRS.RAND.EXP

Returns random numbers from the exponential distribution.

QRS.RAND.GAMMA

Returns random numbers from the gamma distribution.

QRS.RAND.NORMAL

Returns random numbers from the normal distribution.

QRS.RAND.PEARSON

Returns random numbers from the Pearson distribution.

QRS.RAND.JOHNSON

Returns random numbers from the Johnson distribution.

Regression modelling

QRS.LINEAR.REGRESSION

Returns the constant and coefficients of a linear regression model.

QRS.LINEAR.MODEL

Returns the application of a linear regression model.

QRS.LOGISTIC.REGRESSION

Returns the constant and coefficients of a logistic regression model.

QRS.LOGISTIC.MODEL

Returns the application of a logistic regression model.

Concentration

QRS.CONC.CR

Returns the concentration ratio.

QRS.CONC.HHI

Returns the Herfindahl-Hirschman Index.

QRS.CONC.SHANNON

Returns the Shannon Index.

Rank correlation

QRS.CORR.GAMMA

Returns Goodman and Kruskal's gamma rank correlation coefficient.

QRS.CORR.KENDALL

Returns Kendall's tau-b rank correlation coefficient.

QRS.CORR.SOMERS

Returns Somers' delta rank correlation coefficient.

QRS.CORR.SPEARMAN

Returns Spearman's rho rank correlation coefficient.

Discriminatory power

QRS.DISC.AR

Returns the accuracy ratio (AR) or Gini coefficient.

QRS.DISC.AUC

Returns the area under a ROC curve (AUC).

QRS.DISC.KS

Returns the Kolmogorov-Smirnov (KS) statistic.

Probability distribution

QRS.PEARSON.TYPE

Returns the type of Pearson distribution as a Roman numeral.

QRS.PEARSON.PDF

Returns the probability density function (PDF) of the Pearson distribution.

QRS.PEARSON.CDF

Returns the cumulative distribution function (CDF) of the Pearson distribution.

QRS.PEARSON.INV

Returns the inverse cumulative distribution function of the Pearson distribution.

QRS.JOHNSON.TYPE

Returns the type of Johnson distribution.

QRS.JOHNSON.PDF

Returns the probability density function (PDF) of the Johnson distribution.

QRS.JOHNSON.CDF

Returns the cumulative distribution function (CDF) of the Johnson distribution.

QRS.JOHNSON.INV

Returns the inverse cumulative distribution function of the Johnson distribution.