elemento-alpha-tools 1.3.15 → 1.3.16
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/crud/ForecastManager.d.ts +20 -4
- package/dist/crud/ForecastManager.js.map +1 -1
- package/dist/econometrics/ErrorMetrics.d.ts +9 -0
- package/dist/econometrics/ErrorMetrics.js +36 -0
- package/dist/econometrics/ErrorMetrics.js.map +1 -0
- package/dist/econometrics/OrdinaryLeastSquares.d.ts +12 -0
- package/dist/econometrics/OrdinaryLeastSquares.js +23 -2
- package/dist/econometrics/OrdinaryLeastSquares.js.map +1 -1
- package/dist/econometrics/Statistics.d.ts +3 -0
- package/dist/econometrics/Statistics.js +85 -0
- package/dist/econometrics/Statistics.js.map +1 -0
- package/dist/index.d.ts +4 -2
- package/dist/index.js +7 -1
- package/dist/index.js.map +1 -1
- package/package.json +1 -1
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@@ -11,15 +11,31 @@ export interface IForecastOutput {
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unit: string;
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raw: boolean;
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transform: string | null;
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assetId?: number;
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}
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export interface IForecastCoefficient {
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input: string;
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beta: number;
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standardError?: number;
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tStat?: number;
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pValue?: number;
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}
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export interface IForecastParameterStat {
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standardError?: number;
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tStat?: number;
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pValue?: number;
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}
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export interface IForecastData {
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intercept?: number;
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beta: number;
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}[];
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interceptStat?: IForecastParameterStat;
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coefficients?: IForecastCoefficient[];
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standardError?: number;
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rSquared?: number;
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adjustedRSquared?: number;
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fStat?: number;
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fPValue?: number;
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observations?: number;
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degreesOfFreedom?: number;
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trainedThrough?: number;
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}
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export interface IForecastDetails {
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@@ -1 +1 @@
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-
{"version":3,"file":"ForecastManager.js","sourceRoot":"","sources":["../../src/crud/ForecastManager.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,2CAA6E;
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{"version":3,"file":"ForecastManager.js","sourceRoot":"","sources":["../../src/crud/ForecastManager.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,2CAA6E;AA6E7E,MAAa,eAAgB,SAAQ,+BAAqD;IAGxF,YAAY,GAAW;QACrB,KAAK,EAAE,CAAC;QACR,IAAI,CAAC,GAAG,GAAG,GAAG,CAAC;IACjB,CAAC;IAEY,IAAI,CAAC,OAA+B;;YAC/C,OAAO,IAAI,CAAC,WAAW,CAAC,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QACjG,CAAC;KAAA;IAEY,QAAQ,CAAC,EAA+B;;YACnD,OAAO,IAAI,CAAC,WAAW,CAAC,GAAG,IAAI,CAAC,GAAG,gBAAgB,EAAE,CAAC,EAAE,EAAE,EAAE,EAAE,CAAC,MAAM,CAAC,CAAC;QACzE,CAAC;KAAA;IAEO,eAAe,CAAC,GAAW,EAAE,OAA+B;QAClE,IAAI,MAAM,GAAG,GAAG,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,YAAY,OAAO,CAAC,OAAO,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,UAAU,CAAC,CAAC,CAAC,eAAe,OAAO,CAAC,UAAU,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,WAAW,OAAO,CAAC,MAAM,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,SAAS,OAAO,CAAC,IAAI,EAAE,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC;QACzO,OAAO,GAAG,GAAG,IAAI,MAAM,CAAC,SAAS,CAAC,CAAC,CAAC,EAAE,CAAC;IACzC,CAAC;IAEY,KAAK,CAAC,OAA+B;;;YAChD,IAAI,GAAG,GAAG,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,CAAC;YAChE,OAAO,MAAA,CAAC,MAAM,IAAI,CAAC,YAAY,CAAC,GAAG,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC,mCAAI,CAAC,CAAC;QAC7D,CAAC;KAAA;IAEY,OAAO,CAAC,OAA+B;;;YAClD,IAAI,QAAQ,GAAgB,EAAE,CAAC;YAC/B,IAAI,GAAG,GAAG,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,CAAC;YAChE,IAAI,OAAO,CAAC,KAAK,EAAE,CAAC;gBAClB,QAAQ,GAAG,MAAA,CAAC,MAAM,IAAI,CAAC,cAAc,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,SAAS,OAAO,CAAC,KAAK,WAAW,OAAO,CAAC,MAAM,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC,mCAAI,EAAE,CAAC;YAC9J,CAAC;iBAAM,CAAC;gBACN,IAAI,KAAK,GAAG,IAAI,EAAE,MAAM,GAAG,CAAC,EAAE,OAAO,GAAG,KAAK,CAAC;gBAC9C,GAAG,CAAC;oBACF,IAAI,MAAM,GAAG,MAAM,IAAI,CAAC,cAAc,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,SAAS,KAAK,WAAW,MAAM,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;oBACtI,IAAI,MAAM;wBACR,QAAQ,GAAG,QAAQ,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;oBACrC,OAAO,GAAG,MAAM,IAAI,SAAS,IAAI,MAAM,CAAC,MAAM,IAAI,CAAC,CAAC;oBACpD,MAAM,IAAI,KAAK,CAAC;gBAClB,CAAC,QAAQ,CAAC,OAAO,EAAE;YACrB,CAAC;YACD,OAAO,QAAQ,CAAC;QAClB,CAAC;KAAA;IAEY,MAAM,CAAC,OAA+B;;YACjD,OAAO,IAAI,CAAC,YAAY,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE;gBAC/C,IAAI,EAAE,OAAO,CAAC,IAAI;gBAClB,OAAO,EAAE,OAAO,CAAC,OAAO;gBACxB,UAAU,EAAE,OAAO,CAAC,UAAU;gBAC9B,MAAM,EAAE,OAAO,CAAC,MAAM;gBACtB,OAAO,EAAE,OAAO,CAAC,OAAO;aACzB,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QACrB,CAAC;KAAA;IAEY,UAAU,CAAC,OAA+B;;;YACrD,OAAO,IAAI,CAAC,gBAAgB,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,MAAA,OAAO,CAAC,MAAM,mCAAI,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QAC7F,CAAC;KAAA;IAEY,MAAM,CAAC,QAAmB;;YACrC,OAAO,IAAI,CAAC,gBAAgB,CAAC,GAAG,IAAI,CAAC,GAAG,aAAa,QAAQ,CAAC,UAAU,EAAE,EAAE;gBAC1E,IAAI,EAAE,QAAQ,CAAC,IAAI;gBACnB,OAAO,EAAE,QAAQ,CAAC,OAAO;gBACzB,UAAU,EAAE,QAAQ,CAAC,UAAU;gBAC/B,MAAM,EAAE,QAAQ,CAAC,MAAM;gBACvB,OAAO,EAAE,QAAQ,CAAC,OAAO;aAC1B,EAAE,QAAQ,CAAC,MAAM,CAAC,CAAC;QACtB,CAAC;KAAA;IAEY,OAAO,CAAC,QAAmB;;YACtC,OAAO,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,aAAa,QAAQ,CAAC,UAAU,EAAE,EAAE,QAAQ,CAAC,MAAM,CAAC,CAAC;QAC9F,CAAC;KAAA;CACF;AAvED,0CAuEC"}
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@@ -0,0 +1,36 @@
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.computeErrorMetrics = computeErrorMetrics;
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const ZERO_TOLERANCE = 1e-9;
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function computeErrorMetrics(actual, predicted) {
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const count = Math.min(actual.length, predicted.length);
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if (count > 0) {
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let absoluteSum = 0;
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let squaredSum = 0;
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let percentageSum = 0;
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let mapeUsable = true;
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for (let index = 0; index < count; index++) {
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const error = actual[index] - predicted[index];
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absoluteSum += Math.abs(error);
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squaredSum += error * error;
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if (Math.abs(actual[index]) < ZERO_TOLERANCE) {
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mapeUsable = false;
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}
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else {
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percentageSum += Math.abs(error / actual[index]);
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}
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}
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const mean = actual.slice(0, count).reduce((sum, value) => sum + value, 0) / count;
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const variance = actual.slice(0, count).reduce((sum, value) => sum + Math.pow((value - mean), 2), 0) / count;
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return {
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count,
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mae: absoluteSum / count,
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mse: squaredSum / count,
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rmse: Math.sqrt(squaredSum / count),
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mape: mapeUsable ? (percentageSum / count) * 100 : null,
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sigma: Math.sqrt(variance)
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};
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}
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return { count: 0, mae: 0, mse: 0, rmse: 0, mape: null, sigma: 0 };
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}
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//# sourceMappingURL=ErrorMetrics.js.map
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@@ -0,0 +1 @@
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{"version":3,"file":"ErrorMetrics.js","sourceRoot":"","sources":["../../src/econometrics/ErrorMetrics.ts"],"names":[],"mappings":";;AAWA,kDAmCC;AArCD,MAAM,cAAc,GAAG,IAAI,CAAC;AAE5B,SAAgB,mBAAmB,CAAC,MAAgB,EAAE,SAAmB;IACvE,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,MAAM,EAAE,SAAS,CAAC,MAAM,CAAC,CAAC;IAExD,IAAI,KAAK,GAAG,CAAC,EAAE,CAAC;QACd,IAAI,WAAW,GAAG,CAAC,CAAC;QACpB,IAAI,UAAU,GAAG,CAAC,CAAC;QACnB,IAAI,aAAa,GAAG,CAAC,CAAC;QACtB,IAAI,UAAU,GAAG,IAAI,CAAC;QAEtB,KAAK,IAAI,KAAK,GAAG,CAAC,EAAE,KAAK,GAAG,KAAK,EAAE,KAAK,EAAE,EAAE,CAAC;YAC3C,MAAM,KAAK,GAAG,MAAM,CAAC,KAAK,CAAC,GAAG,SAAS,CAAC,KAAK,CAAC,CAAC;YAC/C,WAAW,IAAI,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC;YAC/B,UAAU,IAAI,KAAK,GAAG,KAAK,CAAC;YAE5B,IAAI,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC,GAAG,cAAc,EAAE,CAAC;gBAC7C,UAAU,GAAG,KAAK,CAAC;YACrB,CAAC;iBAAM,CAAC;gBACN,aAAa,IAAI,IAAI,CAAC,GAAG,CAAC,KAAK,GAAG,MAAM,CAAC,KAAK,CAAC,CAAC,CAAC;YACnD,CAAC;QACH,CAAC;QAED,MAAM,IAAI,GAAG,MAAM,CAAC,KAAK,CAAC,CAAC,EAAE,KAAK,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,KAAK,EAAE,CAAC,CAAC,GAAG,KAAK,CAAC;QACnF,MAAM,QAAQ,GAAG,MAAM,CAAC,KAAK,CAAC,CAAC,EAAE,KAAK,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,SAAA,CAAC,KAAK,GAAG,IAAI,CAAC,EAAI,CAAC,CAAA,EAAE,CAAC,CAAC,GAAG,KAAK,CAAC;QAErG,OAAO;YACL,KAAK;YACL,GAAG,EAAE,WAAW,GAAG,KAAK;YACxB,GAAG,EAAE,UAAU,GAAG,KAAK;YACvB,IAAI,EAAE,IAAI,CAAC,IAAI,CAAC,UAAU,GAAG,KAAK,CAAC;YACnC,IAAI,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,aAAa,GAAG,KAAK,CAAC,GAAG,GAAG,CAAC,CAAC,CAAC,IAAI;YACvD,KAAK,EAAE,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC;SAC3B,CAAC;IACJ,CAAC;IAED,OAAO,EAAE,KAAK,EAAE,CAAC,EAAE,GAAG,EAAE,CAAC,EAAE,GAAG,EAAE,CAAC,EAAE,IAAI,EAAE,CAAC,EAAE,IAAI,EAAE,IAAI,EAAE,KAAK,EAAE,CAAC,EAAE,CAAC;AACrE,CAAC"}
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import { AlignedSeries } from '../timeSeries/TimeSeriesPipeline';
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export interface ParameterStat {
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standardError: number;
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tStat: number;
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pValue: number;
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}
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export interface RegressionResult {
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intercept: number;
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coefficients: number[];
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rSquared: number;
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standardError: number;
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adjustedRSquared: number;
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fStat: number;
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fPValue: number;
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observations: number;
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degreesOfFreedom: number;
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interceptStat?: ParameterStat;
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coefficientStats: ParameterStat[];
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}
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export interface OLSOptions {
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exports.RegressionError = void 0;
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exports.fitOLS = fitOLS;
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const Statistics_1 = require("./Statistics");
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class RegressionError extends Error {
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constructor(message) {
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super(message);
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: y.reduce((sum, value) => sum + Math.pow(value, 2), 0);
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const residualSum = y.reduce((sum, value, i) => sum + Math.pow((value - predictions[i]), 2), 0);
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const degreesOfFreedom = observations - parameters;
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const rSquared = totalSum > 0 ? 1 - residualSum / totalSum : 0;
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const meanSquaredError = degreesOfFreedom > 0 ? residualSum / degreesOfFreedom : 0;
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const parameterStats = beta.map((value, index) => {
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const standardError = Math.sqrt(meanSquaredError * Math.max(inverse[index][index], 0));
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const tStat = standardError > 0 ? value / standardError : 0;
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const pValue = standardError > 0 ? (0, Statistics_1.studentTTwoTailed)(tStat, degreesOfFreedom) : NaN;
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return { standardError, tStat, pValue };
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});
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const explainedSum = totalSum - residualSum;
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const fStat = predictors > 0 && meanSquaredError > 0 ? explainedSum / predictors / meanSquaredError : 0;
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const fPValue = predictors > 0 && meanSquaredError > 0 ? (0, Statistics_1.fisherFUpperTail)(fStat, predictors, degreesOfFreedom) : NaN;
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const observedMean = useIntercept ? observations - 1 : observations;
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const adjustedRSquared = degreesOfFreedom > 0 && observedMean > 0 ? 1 - (1 - rSquared) * (observedMean / degreesOfFreedom) : 0;
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return {
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intercept: useIntercept ? beta[0] : 0,
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coefficients: useIntercept ? beta.slice(1) : beta,
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standardError: degreesOfFreedom > 0 ? Math.sqrt(
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rSquared,
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standardError: degreesOfFreedom > 0 ? Math.sqrt(meanSquaredError) : 0,
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adjustedRSquared,
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fStat,
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fPValue,
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observations,
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degreesOfFreedom,
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interceptStat: useIntercept ? parameterStats[0] : undefined,
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coefficientStats: useIntercept ? parameterStats.slice(1) : parameterStats
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};
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}
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throw new RegressionError(`Regression needs more observations than parameters: got ${observations} rows for ${parameters} parameters`);
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{"version":3,"file":"OrdinaryLeastSquares.js","sourceRoot":"","sources":["../../src/econometrics/OrdinaryLeastSquares.ts"],"names":[],"mappings":";;;
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+
{"version":3,"file":"OrdinaryLeastSquares.js","sourceRoot":"","sources":["../../src/econometrics/OrdinaryLeastSquares.ts"],"names":[],"mappings":";;;AAgGA,wBAqDC;AApJD,6CAAmE;AA0BnE,MAAa,eAAgB,SAAQ,KAAK;IACxC,YAAY,OAAe;QACzB,KAAK,CAAC,OAAO,CAAC,CAAC;QACf,IAAI,CAAC,IAAI,GAAG,iBAAiB,CAAC;IAChC,CAAC;CACF;AALD,0CAKC;AAED,SAAS,WAAW,CAAC,IAAY,EAAE,KAAa;IAC9C,MAAM,GAAG,GAAG,IAAI,KAAK,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;IACpC,GAAG,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACf,OAAO,GAAG,CAAC;AACb,CAAC;AAED,SAAS,SAAS,CAAC,MAAkB;IACnC,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC;IAC3B,MAAM,IAAI,GAAG,IAAI,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC;IAC7C,MAAM,MAAM,GAAe,KAAK,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,IAAI,EAAE,EAAE,GAAG,EAAE,CAAC,IAAI,KAAK,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;IACvF,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,EAAE,EAAE,CAAC;QAC9B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,EAAE;YAAE,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAC7D,CAAC;IACD,OAAO,MAAM,CAAC;AAChB,CAAC;AAED,SAAS,QAAQ,CAAC,CAAa,EAAE,CAAa;IAC5C,MAAM,IAAI,GAAG,CAAC,CAAC,MAAM,EAAE,KAAK,GAAG,CAAC,CAAC,MAAM,CAAC;IACxC,MAAM,IAAI,GAAG,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC;IACzC,MAAM,MAAM,GAAe,KAAK,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,IAAI,EAAE,EAAE,GAAG,EAAE,CAAC,IAAI,KAAK,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;IACvF,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,EAAE,EAAE,CAAC;QAC9B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,KAAK,EAAE,CAAC,EAAE,EAAE,CAAC;YAC/B,MAAM,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;YACvB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,EAAE;gBAAE,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAClE,CAAC;IACH,CAAC;IACD,OAAO,MAAM,CAAC;AAChB,CAAC;AAED,SAAS,MAAM,CAAC,MAAkB;IAChC,MAAM,IAAI,GAAG,MAAM,CAAC,MAAM,CAAC;IAC3B,MAAM,SAAS,GAAG,MAAM,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,GAAG,EAAE,GAAG,WAAW,CAAC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;IAC5E,IAAI,QAAQ,GAAG,KAAK,CAAC;IAErB,KAAK,IAAI,KAAK,GAAG,CAAC,EAAE,KAAK,GAAG,IAAI,EAAE,KAAK,EAAE,EAAE,CAAC;QAC1C,IAAI,CAAC,QAAQ,EAAE,CAAC;YACd,IAAI,IAAI,GAAG,KAAK,CAAC;YACjB,KAAK,IAAI,GAAG,GAAG,KAAK,GAAG,CAAC,EAAE,GAAG,GAAG,IAAI,EAAE,GAAG,EAAE,EAAE,CAAC;gBAC5C,IAAI,IAAI,CAAC,GAAG,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC,KAAK,CAAC,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,SAAS,CAAC,IAAI,CAAC,CAAC,KAAK,CAAC,CAAC;oBAAE,IAAI,GAAG,GAAG,CAAC;YACrF,CAAC;YACD,MAAM,UAAU,GAAG,SAAS,CAAC,IAAI,CAAC,CAAC,KAAK,CAAC,CAAC;YAE1C,IAAI,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,GAAG,KAAK,EAAE,CAAC;gBACjC,QAAQ,GAAG,IAAI,CAAC;YAClB,CAAC;iBAAM,CAAC;gBACN,CAAC,SAAS,CAAC,KAAK,CAAC,EAAE,SAAS,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,SAAS,CAAC,IAAI,CAAC,EAAE,SAAS,CAAC,KAAK,CAAC,CAAC,CAAC;gBAC1E,KAAK,IAAI,GAAG,GAAG,CAAC,EAAE,GAAG,GAAG,CAAC,GAAG,IAAI,EAAE,GAAG,EAAE;oBAAE,SAAS,CAAC,KAAK,CAAC,CAAC,GAAG,CAAC,IAAI,UAAU,CAAC;gBAC7E,KAAK,IAAI,GAAG,GAAG,CAAC,EAAE,GAAG,GAAG,IAAI,EAAE,GAAG,EAAE,EAAE,CAAC;oBACpC,IAAI,GAAG,KAAK,KAAK,EAAE,CAAC;wBAClB,MAAM,MAAM,GAAG,SAAS,CAAC,GAAG,CAAC,CAAC,KAAK,CAAC,CAAC;wBACrC,KAAK,IAAI,GAAG,GAAG,CAAC,EAAE,GAAG,GAAG,CAAC,GAAG,IAAI,EAAE,GAAG,EAAE;4BAAE,SAAS,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,IAAI,MAAM,GAAG,SAAS,CAAC,KAAK,CAAC,CAAC,GAAG,CAAC,CAAC;oBACjG,CAAC;gBACH,CAAC;YACH,CAAC;QACH,CAAC;IACH,CAAC;IAED,IAAI,QAAQ;QAAE,MAAM,IAAI,eAAe,CAAC,gEAAgE,CAAC,CAAC;IAE1G,OAAO,SAAS,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC;AAC/C,CAAC;AAED,SAAgB,MAAM,CAAC,OAAsB,EAAE,UAAsB,EAAE;IACrE,MAAM,YAAY,GAAG,OAAO,CAAC,YAAY,KAAK,KAAK,CAAC;IACpD,MAAM,EAAE,CAAC,EAAE,CAAC,EAAE,GAAG,OAAO,CAAC;IACzB,MAAM,YAAY,GAAG,CAAC,CAAC,MAAM,CAAC;IAC9B,MAAM,UAAU,GAAG,CAAC,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC;IAClD,MAAM,UAAU,GAAG,UAAU,GAAG,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAEvD,IAAI,YAAY,IAAI,UAAU,GAAG,CAAC,EAAE,CAAC;QACnC,MAAM,MAAM,GAAG,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC;QACrE,MAAM,OAAO,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC;QAClC,MAAM,OAAO,GAAG,MAAM,CAAC,QAAQ,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC,CAAC;QAClD,MAAM,SAAS,GAAG,QAAQ,CAAC,OAAO,EAAE,CAAC,CAAC,GAAG,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;QAC7D,MAAM,IAAI,GAAG,QAAQ,CAAC,OAAO,EAAE,SAAS,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;QAE7D,MAAM,WAAW,GAAG,MAAM,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,GAAG,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QAC/F,MAAM,IAAI,GAAG,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,KAAK,EAAE,CAAC,CAAC,GAAG,YAAY,CAAC;QACrE,MAAM,QAAQ,GAAG,YAAY;YAC3B,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,GAAG,GAAG,SAAA,CAAC,KAAK,GAAG,IAAI,CAAC,EAAI,CAAC,CAAA,EAAE,CAAC,CAAC;YACxD,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,EAAE,KAAK,EAAE,EAAE,CAAC,G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|
|
@@ -0,0 +1,85 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.regularizedIncompleteBeta = regularizedIncompleteBeta;
|
|
4
|
+
exports.studentTTwoTailed = studentTTwoTailed;
|
|
5
|
+
exports.fisherFUpperTail = fisherFUpperTail;
|
|
6
|
+
function logGamma(z) {
|
|
7
|
+
const g = 7;
|
|
8
|
+
const c = [
|
|
9
|
+
0.99999999999980993, 676.5203681218851, -1259.1392167224028,
|
|
10
|
+
771.32342877765313, -176.61502916214059, 12.507343278686905,
|
|
11
|
+
-0.13857109526572012, 9.9843695780195716e-6, 1.5056327351493116e-7
|
|
12
|
+
];
|
|
13
|
+
if (z < 0.5) {
|
|
14
|
+
return Math.log(Math.PI / Math.sin(Math.PI * z)) - logGamma(1 - z);
|
|
15
|
+
}
|
|
16
|
+
z -= 1;
|
|
17
|
+
let a = c[0];
|
|
18
|
+
const t = z + g + 0.5;
|
|
19
|
+
for (let i = 1; i < g + 2; i++)
|
|
20
|
+
a += c[i] / (z + i);
|
|
21
|
+
return 0.5 * Math.log(2 * Math.PI) + (z + 0.5) * Math.log(t) - t + Math.log(a);
|
|
22
|
+
}
|
|
23
|
+
function betacf(x, a, b) {
|
|
24
|
+
const MAXIT = 200;
|
|
25
|
+
const EPS = 3e-12;
|
|
26
|
+
const FPMIN = 1e-300;
|
|
27
|
+
const qab = a + b;
|
|
28
|
+
const qap = a + 1;
|
|
29
|
+
const qam = a - 1;
|
|
30
|
+
let c = 1;
|
|
31
|
+
let d = 1 - (qab * x) / qap;
|
|
32
|
+
if (Math.abs(d) < FPMIN)
|
|
33
|
+
d = FPMIN;
|
|
34
|
+
d = 1 / d;
|
|
35
|
+
let h = d;
|
|
36
|
+
for (let m = 1; m <= MAXIT; m++) {
|
|
37
|
+
const m2 = 2 * m;
|
|
38
|
+
let aa = (m * (b - m) * x) / ((qam + m2) * (a + m2));
|
|
39
|
+
d = 1 + aa * d;
|
|
40
|
+
if (Math.abs(d) < FPMIN)
|
|
41
|
+
d = FPMIN;
|
|
42
|
+
c = 1 + aa / c;
|
|
43
|
+
if (Math.abs(c) < FPMIN)
|
|
44
|
+
c = FPMIN;
|
|
45
|
+
d = 1 / d;
|
|
46
|
+
h *= d * c;
|
|
47
|
+
aa = (-(a + m) * (qab + m) * x) / ((a + m2) * (qap + m2));
|
|
48
|
+
d = 1 + aa * d;
|
|
49
|
+
if (Math.abs(d) < FPMIN)
|
|
50
|
+
d = FPMIN;
|
|
51
|
+
c = 1 + aa / c;
|
|
52
|
+
if (Math.abs(c) < FPMIN)
|
|
53
|
+
c = FPMIN;
|
|
54
|
+
d = 1 / d;
|
|
55
|
+
const del = d * c;
|
|
56
|
+
h *= del;
|
|
57
|
+
if (Math.abs(del - 1) < EPS)
|
|
58
|
+
break;
|
|
59
|
+
}
|
|
60
|
+
return h;
|
|
61
|
+
}
|
|
62
|
+
function regularizedIncompleteBeta(x, a, b) {
|
|
63
|
+
if (x <= 0)
|
|
64
|
+
return 0;
|
|
65
|
+
if (x >= 1)
|
|
66
|
+
return 1;
|
|
67
|
+
const front = Math.exp(logGamma(a + b) - logGamma(a) - logGamma(b) + a * Math.log(x) + b * Math.log(1 - x));
|
|
68
|
+
if (x < (a + 1) / (a + b + 2)) {
|
|
69
|
+
return (front * betacf(x, a, b)) / a;
|
|
70
|
+
}
|
|
71
|
+
return 1 - (front * betacf(1 - x, b, a)) / b;
|
|
72
|
+
}
|
|
73
|
+
function studentTTwoTailed(t, degreesOfFreedom) {
|
|
74
|
+
if (degreesOfFreedom <= 0 || !isFinite(t))
|
|
75
|
+
return NaN;
|
|
76
|
+
const x = degreesOfFreedom / (degreesOfFreedom + t * t);
|
|
77
|
+
return regularizedIncompleteBeta(x, degreesOfFreedom / 2, 0.5);
|
|
78
|
+
}
|
|
79
|
+
function fisherFUpperTail(f, d1, d2) {
|
|
80
|
+
if (f <= 0 || d1 <= 0 || d2 <= 0)
|
|
81
|
+
return 1;
|
|
82
|
+
const x = d2 / (d2 + d1 * f);
|
|
83
|
+
return regularizedIncompleteBeta(x, d2 / 2, d1 / 2);
|
|
84
|
+
}
|
|
85
|
+
//# sourceMappingURL=Statistics.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"Statistics.js","sourceRoot":"","sources":["../../src/econometrics/Statistics.ts"],"names":[],"mappings":";;AAyDA,8DAWC;AAED,8CAIC;AAED,4CAIC;AAhFD,SAAS,QAAQ,CAAC,CAAS;IACzB,MAAM,CAAC,GAAG,CAAC,CAAC;IACZ,MAAM,CAAC,GAAG;QACR,mBAAmB,EAAE,iBAAiB,EAAE,CAAC,kBAAkB;QAC3D,kBAAkB,EAAE,CAAC,kBAAkB,EAAE,kBAAkB;QAC3D,CAAC,mBAAmB,EAAE,qBAAqB,EAAE,qBAAqB;KACnE,CAAC;IAEF,IAAI,CAAC,GAAG,GAAG,EAAE,CAAC;QACZ,OAAO,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,EAAE,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC,GAAG,QAAQ,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IACrE,CAAC;IAED,CAAC,IAAI,CAAC,CAAC;IACP,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC;IACb,MAAM,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC;IACtB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE;QAAE,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAEpD,OAAO,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,EAAE,CAAC,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;AACjF,CAAC;AAED,SAAS,MAAM,CAAC,CAAS,EAAE,CAAS,EAAE,CAAS;IAC7C,MAAM,KAAK,GAAG,GAAG,CAAC;IAClB,MAAM,GAAG,GAAG,KAAK,CAAC;IAClB,MAAM,KAAK,GAAG,MAAM,CAAC;IACrB,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;IAClB,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;IAClB,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;IAElB,IAAI,CAAC,GAAG,CAAC,CAAC;IACV,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC;IAC5B,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK;QAAE,CAAC,GAAG,KAAK,CAAC;IACnC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;IACV,IAAI,CAAC,GAAG,CAAC,CAAC;IAEV,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,IAAI,KAAK,EAAE,CAAC,EAAE,EAAE,CAAC;QAChC,MAAM,EAAE,GAAG,CAAC,GAAG,CAAC,CAAC;QACjB,IAAI,EAAE,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,GAAG,EAAE,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QACrD,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,CAAC;QACf,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK;YAAE,CAAC,GAAG,KAAK,CAAC;QACnC,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,CAAC;QACf,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK;YAAE,CAAC,GAAG,KAAK,CAAC;QACnC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;QACV,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC;QACX,EAAE,GAAG,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,EAAE,CAAC,GAAG,CAAC,GAAG,GAAG,EAAE,CAAC,CAAC,CAAC;QAC1D,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,CAAC;QACf,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK;YAAE,CAAC,GAAG,KAAK,CAAC;QACnC,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,CAAC;QACf,IAAI,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK;YAAE,CAAC,GAAG,KAAK,CAAC;QACnC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;QACV,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;QAClB,CAAC,IAAI,GAAG,CAAC;QACT,IAAI,IAAI,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,GAAG;YAAE,MAAM;IACrC,CAAC;IAED,OAAO,CAAC,CAAC;AACX,CAAC;AAED,SAAgB,yBAAyB,CAAC,CAAS,EAAE,CAAS,EAAE,CAAS;IACvE,IAAI,CAAC,IAAI,CAAC;QAAE,OAAO,CAAC,CAAC;IACrB,IAAI,CAAC,IAAI,CAAC;QAAE,OAAO,CAAC,CAAC;IAErB,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,QAAQ,CAAC,CAAC,CAAC,GAAG,QAAQ,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;IAE5G,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC;QAC9B,OAAO,CAAC,KAAK,GAAG,MAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC;IACvC,CAAC;IAED,OAAO,CAAC,GAAG,CAAC,KAAK,GAAG,MAAM,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC;AAC/C,CAAC;AAED,SAAgB,iBAAiB,CAAC,CAAS,EAAE,gBAAwB;IACnE,IAAI,gBAAgB,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC;QAAE,OAAO,GAAG,CAAC;IACtD,MAAM,CAAC,GAAG,gBAAgB,GAAG,CAAC,gBAAgB,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC;IACxD,OAAO,yBAAyB,CAAC,CAAC,EAAE,gBAAgB,GAAG,CAAC,EAAE,GAAG,CAAC,CAAC;AACjE,CAAC;AAED,SAAgB,gBAAgB,CAAC,CAAS,EAAE,EAAU,EAAE,EAAU;IAChE,IAAI,CAAC,IAAI,CAAC,IAAI,EAAE,IAAI,CAAC,IAAI,EAAE,IAAI,CAAC;QAAE,OAAO,CAAC,CAAC;IAC3C,MAAM,CAAC,GAAG,EAAE,GAAG,CAAC,EAAE,GAAG,EAAE,GAAG,CAAC,CAAC,CAAC;IAC7B,OAAO,yBAAyB,CAAC,CAAC,EAAE,EAAE,GAAG,CAAC,EAAE,EAAE,GAAG,CAAC,CAAC,CAAC;AACtD,CAAC"}
|
package/dist/index.d.ts
CHANGED
|
@@ -6,7 +6,7 @@ export { IConfig as IConfig, IConfigSearchDetails as IConfigSearchDetails, Confi
|
|
|
6
6
|
export { IAvailablePlatform as IAvailablePlatform, IAvailablePlatformSearchDetails as IAvailablePlatformSearchDetails, AvailablePlatformManager as AvailablePlataformManager } from './crud/AvailablePlataformManager';
|
|
7
7
|
export { IBusiness as IBusiness, IBusinessSearchDetails as IBusinessSearchDetails, BusinessManager as BusinessManager } from './crud/BusinessManager';
|
|
8
8
|
export { IComponent as IComponent, IComponentSearchDetails as IComponentSearchDetails, IComponentDetails as IComponentDetails, IComponentServiceDetails as IComponentServiceDetails, ComponentManager as ComponentManager } from './crud/ComponentManager';
|
|
9
|
-
export { IForecast, IForecastInput, IForecastOutput, IForecastData, IForecastDetails, IForecastSearchDetails, ForecastManager } from './crud/ForecastManager';
|
|
9
|
+
export { IForecast, IForecastInput, IForecastOutput, IForecastData, IForecastCoefficient, IForecastParameterStat, IForecastDetails, IForecastSearchDetails, ForecastManager } from './crud/ForecastManager';
|
|
10
10
|
export { IIntermediary as IIntermediary, IIntermediarySearchDetails as IIntermediarySearchDetails, IntermediaryManager as IntermediaryManager } from "./crud/Intermediaries";
|
|
11
11
|
export { IIntermediaryData as IIntermediaryData, IIntermediaryDataDetails as IIntermediaryDataDetails, IntermediaryDataManager as IntermediaryDataManager } from "./crud/IntermediaryDataManager";
|
|
12
12
|
export { IMarketData as IMarketData, IMarketDataSearchDetails as IMarketDataSearchDetails, MarketDataManager as MarketDataManager } from './crud/MarketDataManager';
|
|
@@ -30,7 +30,9 @@ export { VolatilityGoal as VolatilityGoal } from "./optimization/search/portfoli
|
|
|
30
30
|
export { PortfolioSearch as PortfolioSearch } from "./optimization/search/portfolio/SPEA2PortfolioSearch";
|
|
31
31
|
export { computeAssetMetrics as computeAssetMetrics, AssetMetrics as AssetMetrics } from "./optimization/assetsMetricsCalculator/AssetMetricsCalculator";
|
|
32
32
|
export { monthEndCloses, monthlyReturns, applyTreatment, applyDelay, alignByMonth, MissingMonthsError, MonthlyPoint, RawPoint, AlignedSeries } from "./timeSeries/TimeSeriesPipeline";
|
|
33
|
-
export { fitOLS, RegressionResult, RegressionError, OLSOptions } from "./econometrics/OrdinaryLeastSquares";
|
|
33
|
+
export { fitOLS, RegressionResult, ParameterStat, RegressionError, OLSOptions } from "./econometrics/OrdinaryLeastSquares";
|
|
34
|
+
export { studentTTwoTailed, fisherFUpperTail, regularizedIncompleteBeta } from "./econometrics/Statistics";
|
|
35
|
+
export { computeErrorMetrics, ErrorMetrics } from "./econometrics/ErrorMetrics";
|
|
34
36
|
export { applyLoginMocks as applyLoginMocks } from "./crud/test/LoginServiceMocks";
|
|
35
37
|
export { applyPlatformMocks as applyPlatformMocks } from "./crud/test/PlatformMocks";
|
|
36
38
|
export { applyRoleMocks as applyRoleMocks } from "./crud/test/RoleMocks";
|
package/dist/index.js
CHANGED
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.RegressionError = exports.fitOLS = exports.MissingMonthsError = exports.alignByMonth = exports.applyDelay = exports.applyTreatment = exports.monthlyReturns = exports.monthEndCloses = exports.computeAssetMetrics = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
|
|
3
|
+
exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.computeErrorMetrics = exports.regularizedIncompleteBeta = exports.fisherFUpperTail = exports.studentTTwoTailed = exports.RegressionError = exports.fitOLS = exports.MissingMonthsError = exports.alignByMonth = exports.applyDelay = exports.applyTreatment = exports.monthlyReturns = exports.monthEndCloses = exports.computeAssetMetrics = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
|
|
4
4
|
var ExpressLogableConfig_1 = require("./ap\u00ED/ExpressLogableConfig");
|
|
5
5
|
Object.defineProperty(exports, "ExpressLogableConfig", { enumerable: true, get: function () { return ExpressLogableConfig_1.ExpressLogableConfig; } });
|
|
6
6
|
var ServiceSessionChecker_1 = require("./ap\u00ED/checkers/ServiceSessionChecker");
|
|
@@ -73,6 +73,12 @@ Object.defineProperty(exports, "MissingMonthsError", { enumerable: true, get: fu
|
|
|
73
73
|
var OrdinaryLeastSquares_1 = require("./econometrics/OrdinaryLeastSquares");
|
|
74
74
|
Object.defineProperty(exports, "fitOLS", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.fitOLS; } });
|
|
75
75
|
Object.defineProperty(exports, "RegressionError", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.RegressionError; } });
|
|
76
|
+
var Statistics_1 = require("./econometrics/Statistics");
|
|
77
|
+
Object.defineProperty(exports, "studentTTwoTailed", { enumerable: true, get: function () { return Statistics_1.studentTTwoTailed; } });
|
|
78
|
+
Object.defineProperty(exports, "fisherFUpperTail", { enumerable: true, get: function () { return Statistics_1.fisherFUpperTail; } });
|
|
79
|
+
Object.defineProperty(exports, "regularizedIncompleteBeta", { enumerable: true, get: function () { return Statistics_1.regularizedIncompleteBeta; } });
|
|
80
|
+
var ErrorMetrics_1 = require("./econometrics/ErrorMetrics");
|
|
81
|
+
Object.defineProperty(exports, "computeErrorMetrics", { enumerable: true, get: function () { return ErrorMetrics_1.computeErrorMetrics; } });
|
|
76
82
|
var LoginServiceMocks_1 = require("./crud/test/LoginServiceMocks");
|
|
77
83
|
Object.defineProperty(exports, "applyLoginMocks", { enumerable: true, get: function () { return LoginServiceMocks_1.applyLoginMocks; } });
|
|
78
84
|
var PlatformMocks_1 = require("./crud/test/PlatformMocks");
|
package/dist/index.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;AAAA,wEAA0F;AAAjF,4HAAA,oBAAoB,OAAwB;AACrD,mFAAkM;AAA7F,8HAAA,qBAAqB,OAAyB;AACnJ,qGAA+H;AAAtH,+IAAA,6BAA6B,OAAiC;AACvE,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,8EAAuN;AAAhG,sIAAA,wBAAwB,OAA6B;AAC5K,0DAAsJ;AAAnE,kHAAA,eAAe,OAAmB;AACrH,4DAA2P;AAAtE,oHAAA,gBAAgB,OAAoB;AACzN,
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;AAAA,wEAA0F;AAAjF,4HAAA,oBAAoB,OAAwB;AACrD,mFAAkM;AAA7F,8HAAA,qBAAqB,OAAyB;AACnJ,qGAA+H;AAAtH,+IAAA,6BAA6B,OAAiC;AACvE,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,8EAAuN;AAAhG,sIAAA,wBAAwB,OAA6B;AAC5K,0DAAsJ;AAAnE,kHAAA,eAAe,OAAmB;AACrH,4DAA2P;AAAtE,oHAAA,gBAAgB,OAAoB;AACzN,0DAA4M;AAAhD,kHAAA,eAAe,OAAA;AAC3K,wDAA6K;AAA1E,qHAAA,mBAAmB,OAAuB;AAC7I,0EAAkM;AAA3F,kIAAA,uBAAuB,OAA2B;AACzJ,8DAAoK;AAAzE,sHAAA,iBAAiB,OAAqB;AACjI,kEAAiL;AAA9E,0HAAA,mBAAmB,OAAuB;AAC7I,0DAA4L;AAAnE,kHAAA,eAAe,OAAmB;AAC3J,8EAA4N;AAAjG,sIAAA,yBAAyB,OAA6B;AACjL,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,wDAA2I;AAAhE,gHAAA,cAAc,OAAkB;AAC3G,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,wEAAuM;AAAxF,gIAAA,sBAAsB,OAA0B;AAC/J,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,iFAAkG;AAAzF,gHAAA,cAAc,OAAkB;AACzC,yGAAsI;AAA7H,wIAAA,0BAA0B,OAA8B;AACjE,qFAA2G;AAAlG,0HAAA,mBAAmB,OAAuB;AACnD,+FAAmH;AAA1G,sHAAA,iBAAiB,OAAqB;AAC/C,yFAA0G;AAAjG,gHAAA,cAAc,OAAkB;AACzC,mDAA+D;AAAtD,sGAAA,SAAS,OAAa;AAC/B,+EAA4F;AAAnF,wGAAA,UAAU,OAAc;AACjC,uFAAwG;AAA/F,gHAAA,cAAc,OAAkB;AACzC,6FAA0G;AAAjG,uHAAA,eAAe,OAAmB;AAC3C,wGAAyJ;AAAhJ,6HAAA,mBAAmB,OAAuB;AACnD,sEAAsL;AAA7K,oHAAA,cAAc,OAAA;AAAE,oHAAA,cAAc,OAAA;AAAE,oHAAA,cAAc,OAAA;AAAE,gHAAA,UAAU,OAAA;AAAE,kHAAA,YAAY,OAAA;AAAE,wHAAA,kBAAkB,OAAA;AACrG,4EAA2H;AAAlH,8GAAA,MAAM,OAAA;AAAmC,uHAAA,eAAe,OAAA;AACjE,wDAA2G;AAAlG,+GAAA,iBAAiB,OAAA;AAAE,8GAAA,gBAAgB,OAAA;AAAE,uHAAA,yBAAyB,OAAA;AACvE,4DAAgF;AAAvE,mHAAA,mBAAmB,OAAA;AAE5B,mEAAmF;AAA1E,oHAAA,eAAe,OAAmB;AAC3C,2DAAqF;AAA5E,mHAAA,kBAAkB,OAAsB;AACjD,mDAAyE;AAAhE,2GAAA,cAAc,OAAkB;AACzC,uDAA+E;AAAtE,+GAAA,gBAAgB,OAAoB;AAC7C,mDAAyE;AAAhE,2GAAA,cAAc,OAAkB"}
|