/**
* 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 $n^th$ sample central moment of a series of data.
* <p>
* The sample central moment $\mu_n$ of a series of data $x_1, x_2, \dots, x_s$ is given by:
* $$
* \begin{align*}
* \mu_n = \frac{1}{s}\sum_{i=1}^s (x_i - \overline{x})^n
* \end{align*}
* $$
* where $\overline{x}$ is the mean.
*/
public class SampleCentralMomentCalculator extends Function1D<double[], Double> {
private static final Function1D<double[], Double> MEAN = new MeanCalculator();
private final int _n;
/**
* @param n The degree of the moment to calculate, cannot be negative
*/
public SampleCentralMomentCalculator(final int n) {
Validate.isTrue(n >= 0, "n must be >= 0");
_n = n;
}
/**
* @param x The array of data, not null. Must contain at least two data points.
* @return The sample central moment.
*/
@Override
public Double evaluate(final double[] x) {
Validate.notNull(x, "x");
Validate.isTrue(x.length >= 2, "Need at least 2 data points to calculate central moment");
if (_n == 0) {
return 1.;
}
final double mu = MEAN.evaluate(x);
double sum = 0;
for (final Double d : x) {
sum += Math.pow(d - mu, _n);
}
return sum / (x.length - 1);
}
}