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

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

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/**
 * 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.function.Function1D;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class MovingAverageTimeSeriesOrderIdentifier {
    private final int _maxOrder;
    private final double _criticalValue;
    private final Function1D<DoubleTimeSeries<?>, double[]> _calculator = new AutocorrelationFunctionCalculator();

    public MovingAverageTimeSeriesOrderIdentifier(final int maxOrder, final double level) {
        if (maxOrder < 1) {
            throw new IllegalArgumentException("Maximum order must be greater than zero");
        }
        if (!ArgumentChecker.isInRangeExcludingLow(0, 1, level)) {
            throw new IllegalArgumentException("Level must be between 0 and 1");
        }
        _maxOrder = maxOrder;
        _criticalValue = new NormalDistribution(0, 1).getInverseCDF(1 - level / 2.);
    }

    public int getOrder(final DoubleTimeSeries<?> ts) {
        Validate.notNull(ts);
        if (ts.isEmpty()) {
            throw new IllegalArgumentException("Time series was empty");
        }
        if (ts.size() < _maxOrder) {
            throw new IllegalArgumentException("Number of data points lower than the maximum order to calculate");
        }
        final double[] acf = _calculator.evaluate(ts);
        final int n = ts.size();
        final double bound = _criticalValue / Math.sqrt(n);
        for (int i = _maxOrder; i > 0; i--) {
            if (Math.abs(acf[i]) > bound) {
                return i;
            }
        }
        throw new IllegalArgumentException("Could not find order of series; no significant autocorrelations");
    }
}