com.opengamma.analytics.math.statistics.descriptive.robust.WinsorizedMeanCalculator.java Source code

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Here is the source code for com.opengamma.analytics.math.statistics.descriptive.robust.WinsorizedMeanCalculator.java

Source

/**
 * 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.robust;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

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

/**
 * 
 */
public class WinsorizedMeanCalculator extends Function1D<double[], Double> {
    private static final Function1D<double[], Double> MEAN_CALCULATOR = new MeanCalculator();
    private final double _gamma;

    public WinsorizedMeanCalculator(final double gamma) {
        Validate.isTrue(gamma > 0 && gamma < 1, "Gamma must be between 0 and 1, have {}", gamma);
        _gamma = gamma > 0.5 ? 1 - gamma : gamma;
    }

    @Override
    public Double evaluate(final double[] x) {
        Validate.notNull(x, "x was null");
        final int length = x.length;
        Validate.isTrue(length > 0, "x was empty");
        final double[] winsorized = Arrays.copyOf(x, length);
        Arrays.sort(winsorized);
        final int value = (int) Math.round(length * _gamma);
        final double x1 = winsorized[value];
        final double x2 = winsorized[length - value - 1];
        for (int i = 0; i < value; i++) {
            winsorized[i] = x1;
            winsorized[length - 1 - i] = x2;
        }
        return MEAN_CALCULATOR.evaluate(winsorized);
    }
}