com.opengamma.strata.math.impl.statistics.descriptive.SampleFisherKurtosisCalculator Maven / Gradle / Ivy
/*
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.statistics.descriptive;
import java.util.function.Function;
import com.opengamma.strata.collect.ArgChecker;
/**
* The sample Fisher kurtosis gives a measure of how heavy the tails of a distribution are
* with respect to the normal distribution (which has a Fisher kurtosis of zero).
* An estimator of the kurtosis is
* $$
* \begin{align*}
* \mu_4 = \frac{(n+1)n}{(n-1)(n-2)(n-3)}\frac{\sum_{i=1}^n (x_i - \overline{x})^4}{\mu_2^2} - 3\frac{(n-1)^2}{(n-2)(n-3)}
* \end{align*}
* $$
* where $\overline{x}$ is the sample mean and $\mu_2$ is the unbiased estimator of the population variance.
*
* Fisher kurtosis is also known as the _excess kurtosis_.
*/
public class SampleFisherKurtosisCalculator implements Function {
private static final Function MEAN = new MeanCalculator();
@Override
public Double apply(double[] x) {
ArgChecker.notNull(x, "x");
ArgChecker.isTrue(x.length >= 4, "Need at least four points to calculate kurtosis");
double sum = 0;
double mean = MEAN.apply(x);
double variance = 0;
for (Double d : x) {
double diff = d - mean;
double diffSq = diff * diff;
variance += diffSq;
sum += diffSq * diffSq;
}
int n = x.length;
double n1 = n - 1;
double n2 = n1 - 1;
variance /= n1;
return n * (n + 1.) * sum / (n1 * n2 * (n - 3.) * variance * variance) - 3 * n1 * n1 / (n2 * (n - 3.));
}
}