Library "FunctionMatrixCovariance"
In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector.
Intuitively, the covariance matrix generalizes the notion of...
Library "Moments"
Based on Moments (Mean,Variance,Skewness,Kurtosis) . Rewritten for Pinescript v5.
logReturns(src) Calculates log returns of a series (e.g log percentage change)
Parameters:
src : Source to use for the returns calculation (e.g. close).
Returns: Log percentage returns of a series
mean(src, length) Calculates the mean of a...