com.opengamma.analytics.math.statistics.descriptive.QuartileSkewnessCalculator.java Source code

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Here is the source code for com.opengamma.analytics.math.statistics.descriptive.QuartileSkewnessCalculator.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.math.statistics.descriptive;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function1D;

/**
 * Calculates the quartile skewness coefficient, which is given by:
 * $$
 * \begin{align*}
 * \text{QS} = \frac{Q_1 - 2Q_2 + Q_3}{Q_3 - Q_1}
 * \end{align*}
 * $$
 * where $Q_1$, $Q_2$ and $Q_3$ are the first, second and third quartiles.
 * <p> 
 * The quartile skewness coefficient is also known as the Bowley skewness.
 */
public class QuartileSkewnessCalculator extends Function1D<double[], Double> {
    private static final Function1D<double[], Double> MEDIAN = new MedianCalculator();

    /**
     * @param x The array of data, not null. Must contain at least three points.
     * @return The quartile skewness.
     */
    @Override
    public Double evaluate(final double[] x) {
        Validate.notNull(x, "x");
        final int n = x.length;
        Validate.isTrue(n >= 3, "Need at least three points to calculate interquartile range");
        if (n == 3) {
            return (x[2] - 2 * x[1] + x[0]) / 2.;
        }
        final double[] copy = Arrays.copyOf(x, n);
        Arrays.sort(copy);
        double[] lower, upper;
        if (n % 2 == 0) {
            lower = Arrays.copyOfRange(copy, 0, n / 2);
            upper = Arrays.copyOfRange(copy, n / 2, n);
        } else {
            lower = Arrays.copyOfRange(copy, 0, n / 2 + 1);
            upper = Arrays.copyOfRange(copy, n / 2, n);
        }
        final double q1 = MEDIAN.evaluate(lower);
        final double q2 = MEDIAN.evaluate(x);
        final double q3 = MEDIAN.evaluate(upper);
        return (q1 - 2 * q2 + q3) / (q3 - q1);
    }

}