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

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Here is the source code for com.opengamma.analytics.math.statistics.descriptive.SampleNormalizedCentralMomentCalculator.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 org.apache.commons.lang.Validate;

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

/**
 * Calculates the $n^th$ normalized central moment of a series of data. Given
 * the $n^th$ central moment $\mu_n$ of a series of data with standard
 * deviation $\sigma$, the normalized central moment is given by:
 * $$
 * \begin{align*}
 * \mu_n' = \frac{\mu_n}{\sigma^n}
 * \end{align*}
 * $$
 * The normalization gives a scale-invariant, dimensionless quantity. The
 * normalized central moment is also known as the _standardized moment_.
 */
public class SampleNormalizedCentralMomentCalculator extends Function1D<double[], Double> {
    private static final Function1D<double[], Double> STD_DEV = new SampleStandardDeviationCalculator();
    private final int _n;
    private final Function1D<double[], Double> _moment;

    /**
     * @param n The degree of the moment of calculate, cannot be negative
     */
    public SampleNormalizedCentralMomentCalculator(final int n) {
        Validate.isTrue(n >= 0, "n must be >= 0");
        _n = n;
        _moment = new SampleCentralMomentCalculator(n);
    }

    /**
     * @param x The array of data, not null. Must contain at least two data points.
     * @return The normalized sample central moment.
     */
    @Override
    public Double evaluate(final double[] x) {
        Validate.notNull(x);
        Validate.isTrue(x.length >= 2, "Need at least 2 data points to calculate normalized central moment");
        if (_n == 0) {
            return 1.;
        }
        return _moment.evaluate(x) / Math.pow(STD_DEV.evaluate(x), _n);
    }

}