com.opengamma.analytics.financial.timeseries.analysis.AutocovarianceFunctionCalculator.java Source code

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Here is the source code for com.opengamma.analytics.financial.timeseries.analysis.AutocovarianceFunctionCalculator.java

Source

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.timeseries.analysis;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.statistics.descriptive.MeanCalculator;
import com.opengamma.timeseries.DoubleTimeSeries;

/**
 * 
 */
public class AutocovarianceFunctionCalculator extends Function1D<DoubleTimeSeries<?>, double[]> {
    private final Function<DoubleTimeSeries<?>, Double> _meanCalculator = new DoubleTimeSeriesStatisticsCalculator(
            new MeanCalculator());

    @Override
    public double[] evaluate(final DoubleTimeSeries<?> x) {
        Validate.notNull(x, "x");
        if (x.isEmpty()) {
            throw new IllegalArgumentException("Time series was empty");
        }
        final int h = x.size() - 1;
        final double[] result = new double[h];
        final double mean = _meanCalculator.evaluate(x);
        double[] x1, x2;
        final int n = x.size();
        double sum;
        final double[] x0 = x.valuesArrayFast();
        for (int i = 0; i < h; i++) {
            x1 = Arrays.copyOfRange(x0, 0, n - i);
            x2 = Arrays.copyOfRange(x0, i, n);
            if (x1.length != x2.length) {
                throw new IllegalArgumentException("Series were not the same length; this should not happen");
            }
            sum = 0;
            for (int j = 0; j < x1.length; j++) {
                sum += (x1[j] - mean) * (x2[j] - mean);
            }
            result[i] = sum / n;
        }
        return result;
    }
}