com.fay.statics.SummaryStat.java Source code

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Here is the source code for com.fay.statics.SummaryStat.java

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/*******************************************************************************
 * Copyright (c) 2010-2013 Torsten Hildebrandt and jasima contributors
 *
 * This file is part of jasima, v1.0.
 *
 * jasima is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * jasima is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with jasima.  If not, see <http://www.gnu.org/licenses/>.
 *
 * $Id: SummaryStat.java 74 2013-01-08 17:31:49Z THildebrandt@gmail.com $
 *******************************************************************************/
package com.fay.statics;

import org.apache.commons.math3.distribution.TDistribution;

/**
 * Class to collect the most important statistics without having to store all
 * values encountered. It can return mean, standard deviation, variance, min,
 * max etc. in O(1) time. Values are passed by calling the
 * {@link #value(double)} method. Values can be weighted, just call
 * {@link #value(double, double)} instead.
 * <p />
 * In other simulation packages this is sometimes called "tally".
 * 
 * @author Torsten Hildebrandt <hil@biba.uni-bremen.de>
 * @version "$Id: SummaryStat.java 73 2013-01-08 17:16:19Z THildebrandt@gmail.com$"
 */
public class SummaryStat {

    private static final double MIN_WEIGHT = 1e-12d;
    protected static final double DEF_ERROR_PROB = 0.05;

    private String name;
    private double valSum, sumSquare, weightSum;
    private int numObs;
    private double max;
    private double min;
    protected double lastValue, lastWeight;

    public SummaryStat() {
        this((String) null);
    }

    /**
     * Create a new SummaryStat-object initialized with the values of "vs".
     */
    public SummaryStat(SummaryStat vs) {
        this(vs.name);
        valSum = vs.valSum;
        sumSquare = vs.sumSquare;
        weightSum = vs.weightSum;
        lastValue = vs.lastValue;
        lastWeight = vs.lastWeight;
        numObs = vs.numObs;
        max = vs.max;
        min = vs.min;
    }

    public SummaryStat(String name) {
        super();
        clear();
        setName(name);
    }

    public void value(double v) {
        value(v, 1.0d);
    }

    public void value(double v, double weight) {
        if (weight < 0.0d)
            throw new IllegalArgumentException("Weight can't be negative. " + weight);

        if (weight < MIN_WEIGHT)
            return;

        lastValue = v;
        lastWeight = weight;

        numObs++;
        if (v < min)
            min = v;
        if (v > max)
            max = v;

        weightSum += weight;

        final double vw = v * weight;
        valSum += vw;
        sumSquare += v * vw;
    }

    public double mean() {
        if (numObs < 1)
            return Double.NaN;
        return valSum / weightSum;
    }

    public double stdDev() {
        return Math.sqrt(variance());
    }

    public double variance() {
        if (numObs < 2)
            return Double.NaN;
        return (weightSum * sumSquare - valSum * valSum) / (weightSum * (weightSum - 1));
    }

    /** Returns the coefficient of variation. */
    public double varCoeff() {
        return stdDev() / mean();
    }

    public double sum() {
        if (numObs < 1)
            return Double.NaN;
        return valSum;
    }

    public int numObs() {
        return numObs;
    }

    public double min() {
        if (numObs < 1)
            return Double.NaN;
        return min;
    }

    public double max() {
        if (numObs < 1)
            return Double.NaN;
        return max;
    }

    /**
     * Combines the io in "other" with another ValueStat-Object. The combined
     * object behaves as if it had also seen the io of "other".
     */
    public void combine(SummaryStat other) {
        valSum += other.valSum;
        sumSquare += other.sumSquare;
        weightSum += other.weightSum;
        numObs += other.numObs;
        if (other.max > max)
            max = other.max;
        if (other.min < min)
            min = other.min;
    }

    /**
     * @return lower value of a confidence interval with a 0.95-confidence level
     */
    public double confidenceIntervalLower() {
        return confidenceIntervalLower(DEF_ERROR_PROB);
    }

    public double confidenceIntervalUpper() {
        return confidenceIntervalUpper(DEF_ERROR_PROB);
    }

    public double confidenceIntervalLower(double errorProb) {
        return mean() - confIntRangeSingle(errorProb);
    }

    public double confidenceIntervalUpper(double errorProb) {
        return mean() + confIntRangeSingle(errorProb);
    }

    public double confIntRangeSingle(double errorProb) {
        if (numObs <= 2)
            return Double.NaN;

        double deg = weightSum() - 1.0d;
        TDistribution dist = new TDistribution(deg);
        return Math.abs(dist.inverseCumulativeProbability(errorProb * 0.5d)) * Math.sqrt(variance() / weightSum());
    }

    public double weightSum() {
        return weightSum;
    }

    public double lastValue() {
        if (numObs == 0)
            return Double.NaN;
        return lastValue;
    }

    public double lastWeight() {
        if (numObs == 0)
            return Double.NaN;
        return lastWeight;
    }

    public void clear() {
        valSum = sumSquare = 0.0d;
        numObs = 0;
        weightSum = 0.0d;
        min = Double.POSITIVE_INFINITY;
        max = Double.NEGATIVE_INFINITY;
    }

    public void setName(String name) {
        this.name = name;
    }

    public String getName() {
        return name;
    }

}