Set of statistical functions which allows you to calculate some values describing timeseries like correlation between two time series, linear regression, standard deviation etc. It includes also more advanced functions like definite integral.
Header file “Statistics.mqh” includes following functions:
Syntax
Description
Return type
 mean(T &arr[])
 Mean
 (generic)Â
 std(double &arr[])
 Standard deviation
 double
 correlation(&arr1[], &arr2[])
 Correlation coefficient
 double
 detrend(arr[], resultArray[])
 Timeseries decomposition
 void
 regression(&arr1[], &arr2[], &res[])
 Regression line
 void
 regression(double &arr1[], double &arr2[], double &res[], double &aCoeff,double &bCoeff)
 Regression line with coefficients
 void
 dickeyFuller(double &arr[])Â
 Dickey-Fuller test for stationarity
 bool
 engleGrangerTest(double &arr1[], double &arr2[],double &cointCoeff)Â
 Engle-Granger 2-step method for testing cointegration
 bool
 AR1(double &arr[])
 Autoregressive model with lag 1
 double
 signedIntegral(double a, double b, int n) *
 Definite integral
 double
 erf(double x)Â
 Error function
 double
 normDistZ(double z)Â
 Probability that variable is from normal distrbution
 double
* You should add your own implementation of “foo” function which you want to integrate. Default function is: f(x) = x.
You should also remember that timeseries avaliable in MQL are indexed in a way that the newest data have a 0 index. It’s a good idea to reverse the order of such arrays and is absolutely necessay in AR model (arrays are not reversed inside of the method to avoid confusion).
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