/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.statistics.descriptive;
/**
* Implementation of a quantile estimator.
* <p>
* The quantile is linearly interpolated between two sample values.
* The probability dimension on which the interpolation take place (X axis) is the ratio of the sample index and the
* number of elements in the sample ( <i>p<subscript>i</subscript> = i / n</i>). For each probability
* <i>p<subscript>i</subscript></i>, the distribution value is the sample value with same index.
* The index used above are the Java index plus 1.
* <p>
* Reference: Value-At-Risk, OpenGamma Documentation 31, Version 0.1, April 2015.
*/
public class SampleInterpolationQuantileMethod extends InterpolationQuantileMethod {
/** Default implementation. */
public static final SampleInterpolationQuantileMethod DEFAULT = new SampleInterpolationQuantileMethod();
@Override
protected double indexCorrection() {
return 0.0d;
}
@Override
int sampleCorrection(int sampleSize) {
return sampleSize;
}
}