Covar, Kendall, Spearman

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2024-11-08 21:20:06 -08:00
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# Statistics
# Statistics indicators
Done: 21, Todo: 2
Statistical functions and indicators for financial analysis.
## Implemented
- [Beta](Beta.cs) - Beta coefficient measuring volatility relative to market
- [Corr](Corr.cs) - Correlation coefficient between two series
- [Curvature](Curvature.cs) - Curvature of a time series
- [Entropy](Entropy.cs) - Information entropy of a series
- [Hurst](Hurst.cs) - Hurst exponent for trend strength
- [Kurtosis](Kurtosis.cs) - Kurtosis measuring tail extremity
- [Max](Max.cs) - Maximum value over period
- [Median](Median.cs) - Median value over period
- [Min](Min.cs) - Minimum value over period
- [Mode](Mode.cs) - Mode (most frequent value)
- [Percentile](Percentile.cs) - Percentile rank calculation
- [Skew](Skew.cs) - Skewness measuring distribution asymmetry
- [Slope](Slope.cs) - Linear regression slope
- [Stddev](Stddev.cs) - Standard deviation
- [Theil](Theil.cs) - Theil's U statistics for forecast accuracy
- [Tsf](Tsf.cs) - Time series forecast
- [Variance](Variance.cs) - Statistical variance
- [Zscore](Zscore.cs) - Z-score standardization
## Planned
- Cointegration - Test for cointegrated series
- Granger - Granger causality test
- Jarque-Bera - Normality test
- Kendall - Kendall rank correlation
- Spearman - Spearman rank correlation
✔️ BETA - Beta coefficient measuring volatility relative to market
✔️ CORR - Correlation coefficient between two series
✔️ COVAR - Covariance between two series
✔️ CURVATURE - Curvature of a time series
✔️ ENTROPY - Information entropy of a series
✔️ HURST - Hurst exponent for trend strength
✔️ KENDALL - Kendall rank correlation
✔️ KURTOSIS - Kurtosis measuring tail extremity
✔️ MAX - Maximum value over period
✔️ MEDIAN - Median value over period
✔️ MIN - Minimum value over period
✔️ MODE - Mode (most frequent value)
✔️ PERCENTILE - Percentile rank calculation
✔️ SKEW - Skewness measuring distribution asymmetry
✔️ SLOPE - Linear regression slope
✔️ SPEARMAN - Spearman rank correlation
✔️ STDDEV - Standard deviation
✔️ THEIL - Theil's U statistics for forecast accuracy
✔️ TSF - Time series forecast
✔️ VARIANCE - Statistical variance
✔️ ZSCORE - Z-score standardization
COINTEGRATION - Test for cointegrated series
GRANGER - Granger causality test