/**
* 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);
}
}