Java tutorial
/** * 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 RankTestIIDHypothesis extends IIDHypothesis { private final double _criticalValue; public RankTestIIDHypothesis(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(); int t = 0; final int n = x.size(); double val; for (int i = 0; i < n - 1; i++) { val = data[i]; for (int j = i + 1; j < n; j++) { if (data[j] > val) { t++; } } } final double mean = n * (n - 1) / 4.; final double std = Math.sqrt(n * (n - 1) * (2 * n + 5.) / 72.); return Math.abs(t - mean) / std < _criticalValue; } }