/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.analysis;
import java.util.Arrays;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.statistics.descriptive.MeanCalculator;
import com.opengamma.timeseries.DoubleTimeSeries;
/**
*
*/
public class AutocovarianceFunctionCalculator extends Function1D<DoubleTimeSeries<?>, double[]> {
private final Function<DoubleTimeSeries<?>, Double> _meanCalculator = new DoubleTimeSeriesStatisticsCalculator(new MeanCalculator());
@Override
public double[] evaluate(final DoubleTimeSeries<?> x) {
Validate.notNull(x, "x");
if (x.isEmpty()) {
throw new IllegalArgumentException("Time series was empty");
}
final int h = x.size() - 1;
final double[] result = new double[h];
final double mean = _meanCalculator.evaluate(x);
double[] x1, x2;
final int n = x.size();
double sum;
final double[] x0 = x.valuesArrayFast();
for (int i = 0; i < h; i++) {
x1 = Arrays.copyOfRange(x0, 0, n - i);
x2 = Arrays.copyOfRange(x0, i, n);
if (x1.length != x2.length) {
throw new IllegalArgumentException("Series were not the same length; this should not happen");
}
sum = 0;
for (int j = 0; j < x1.length; j++) {
sum += (x1[j] - mean) * (x2[j] - mean);
}
result[i] = sum / n;
}
return result;
}
}