/** * 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; /** * The sample skewness gives a measure of the asymmetry of the probability * distribution of a variable. For a series of data $x_1, x_2, \dots, x_n$, an * unbiased estimator of the sample skewness is * $$ * \begin{align*} * \mu_3 = \frac{\sqrt{n(n-1)}}{n-2}\frac{\frac{1}{n}\sum_{i=1}^n (x_i - \overline{x})^3}{\left(\frac{1}{n}\sum_{i=1}^n (x_i - \overline{x})^2\right)^\frac{3}{2}} * \end{align*} * $$ * where $\overline{x}$ is the sample mean. */ public class SampleSkewnessCalculator extends Function1D<double[], Double> { private static final Function1D<double[], Double> MEAN = new MeanCalculator(); /** * @param x The array of data, not null, must contain at least three data points * @return The sample skewness */ @Override public Double evaluate(final double[] x) { Validate.notNull(x, "x"); Validate.isTrue(x.length >= 3, "Need at least three points to calculate sample skewness"); double sum = 0; double variance = 0; final double mean = MEAN.evaluate(x); for (final Double d : x) { final double diff = d - mean; variance += diff * diff; sum += diff * diff * diff; } final int n = x.length; variance /= n - 1; return Math.sqrt(n - 1.) * sum / (Math.pow(variance, 1.5) * Math.sqrt(n) * (n - 2)); } }