/**
* 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);
}
}