XML Documentation

lib/statistics/Kurtosis.cs

@@ -1,16 +1,27 @@
 namespace QuanTAlib;
 
-// Excess kurtosis calculated with Sheskin Algorithm
+/// <summary>
+/// Calculates excess kurtosis using the Sheskin Algorithm.
+/// Measures the "tailedness" of the probability distribution of a real-valued random variable.
+/// </summary>
 public class Kurtosis : AbstractBase
 {
     private readonly int Period;
     private readonly CircularBuffer _buffer;
 
+    /// <summary>
+    /// Initializes a new instance of the Kurtosis class.
+    /// </summary>
+    /// <param name="period">The number of data points to consider for calculation.</param>
+    /// <exception cref="ArgumentOutOfRangeException">
+    /// Thrown when the period is less than 4.
+    /// </exception>
     public Kurtosis(int period) : base()
     {
         if (period < 4)
         {
-            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 4 for kurtosis calculation.");
+            throw new ArgumentOutOfRangeException(nameof(period),
+                "Period must be greater than or equal to 4 for kurtosis calculation.");
         }
         Period = period;
         WarmupPeriod = Period - 1;
@@ -19,18 +30,30 @@ public class Kurtosis : AbstractBase
         Init();
     }
 
+    /// <summary>
+    /// Initializes a new instance of the Kurtosis class with a data source.
+    /// </summary>
+    /// <param name="source">The source object that publishes data.</param>
+    /// <param name="period">The number of data points to consider.</param>
     public Kurtosis(object source, int period) : this(period)
     {
         var pubEvent = source.GetType().GetEvent("Pub");
         pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
     }
 
+    /// <summary>
+    /// Resets the Kurtosis indicator to its initial state.
+    /// </summary>
     public override void Init()
     {
         base.Init();
         _buffer.Clear();
     }
 
+    /// <summary>
+    /// Manages the state of the indicator.
+    /// </summary>
+    /// <param name="isNew">Indicates if the current data point is new.</param>
     protected override void ManageState(bool isNew)
     {
         if (isNew)
@@ -40,6 +63,17 @@ public class Kurtosis : AbstractBase
         }
     }
 
+    /// <summary>
+    /// Performs the kurtosis calculation.
+    /// </summary>
+    /// <returns>
+    /// The calculated excess kurtosis. Positive for heavy-tailed distributions,
+    /// negative for light-tailed distributions.
+    /// </returns>
+    /// <remarks>
+    /// Uses the Sheskin Algorithm for kurtosis calculation.
+    /// Requires at least 4 data points for a valid calculation.
+    /// </remarks>
     protected override double Calculation()
     {
         ManageState(Input.IsNew);
@@ -65,7 +99,7 @@ public class Kurtosis : AbstractBase
 
             double variance = s2 / (n - 1);
 
-            // Using the Sheskin Algorithm for kurtosis
+            // Sheskin Algorithm
             kurtosis = (n * (n + 1) * s4) / (variance * variance * (n - 3) * (n - 1) * (n - 2))
                        - (3 * (n - 1) * (n - 1) / ((n - 2) * (n - 3)));
         }