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

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Here is the source code for com.opengamma.analytics.financial.timeseries.analysis.DifferenceSignIIDHypothesis.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 org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class DifferenceSignIIDHypothesis extends IIDHypothesis {
    private final double _criticalValue;

    public DifferenceSignIIDHypothesis(final double level) {
        if (!ArgumentChecker.isInRangeExcludingLow(0, 1, level)) {
            throw new IllegalArgumentException("Level must be between 0 and 1");
        }
        _criticalValue = new NormalDistribution(0, 1).getInverseCDF(1 - level / 2.);
    }

    @Override
    public boolean testIID(final DoubleTimeSeries<?> x) {
        Validate.notNull(x, "x");
        final double[] data = x.valuesArrayFast();
        final int n = data.length;
        int t = 0;
        for (int i = 1; i < n; i++) {
            if (data[i] > data[i - 1]) {
                t++;
            }
        }
        final double mean = (n - 1) / 2.;
        final double std = Math.sqrt((n + 1) / 12.);
        return Math.abs(t - mean) / std < _criticalValue;
    }
}