Skewness.java
- /*
- * Licensed to the Apache Software Foundation (ASF) under one or more
- * contributor license agreements. See the NOTICE file distributed with
- * this work for additional information regarding copyright ownership.
- * The ASF licenses this file to You under the Apache License, Version 2.0
- * (the "License"); you may not use this file except in compliance with
- * the License. You may obtain a copy of the License at
- *
- * https://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
- /*
- * This is not the original file distributed by the Apache Software Foundation
- * It has been modified by the Hipparchus project
- */
- package org.hipparchus.stat.descriptive.moment;
- import java.io.Serializable;
- import org.hipparchus.exception.MathIllegalArgumentException;
- import org.hipparchus.exception.NullArgumentException;
- import org.hipparchus.stat.descriptive.AbstractStorelessUnivariateStatistic;
- import org.hipparchus.util.FastMath;
- import org.hipparchus.util.MathArrays;
- import org.hipparchus.util.MathUtils;
- /**
- * Computes the skewness of the available values.
- * <p>
- * We use the following (unbiased) formula to define skewness:
- * <p>
- * skewness = [n / (n -1) (n - 2)] sum[(x_i - mean)^3] / std^3
- * <p>
- * where n is the number of values, mean is the {@link Mean} and std is the
- * {@link StandardDeviation}.
- * <p>
- * Note that this statistic is undefined for n < 3. <code>Double.Nan</code>
- * is returned when there is not sufficient data to compute the statistic.
- * Double.NaN may also be returned if the input includes NaN and / or
- * infinite values.
- * <p>
- * <strong>Note that this implementation is not synchronized.</strong> If
- * multiple threads access an instance of this class concurrently, and at least
- * one of the threads invokes the <code>increment()</code> or
- * <code>clear()</code> method, it must be synchronized externally.
- */
- public class Skewness extends AbstractStorelessUnivariateStatistic implements Serializable {
- /** Serializable version identifier */
- private static final long serialVersionUID = 20150412L;
- /** Third moment on which this statistic is based */
- protected final ThirdMoment moment;
- /**
- * Determines whether or not this statistic can be incremented or cleared.
- * <p>
- * Statistics based on (constructed from) external moments cannot
- * be incremented or cleared.
- */
- protected final boolean incMoment;
- /**
- * Constructs a Skewness.
- */
- public Skewness() {
- moment = new ThirdMoment();
- incMoment = true;
- }
- /**
- * Constructs a Skewness with an external moment.
- * @param m3 external moment
- */
- public Skewness(final ThirdMoment m3) {
- this.moment = m3;
- incMoment = false;
- }
- /**
- * Copy constructor, creates a new {@code Skewness} identical
- * to the {@code original}.
- *
- * @param original the {@code Skewness} instance to copy
- * @throws NullArgumentException if original is null
- */
- public Skewness(Skewness original) throws NullArgumentException {
- MathUtils.checkNotNull(original);
- this.moment = original.moment.copy();
- this.incMoment = original.incMoment;
- }
- /**
- * {@inheritDoc}
- * <p>Note that when {@link #Skewness(ThirdMoment)} is used to
- * create a Skewness, this method does nothing. In that case, the
- * ThirdMoment should be incremented directly.
- */
- @Override
- public void increment(final double d) {
- if (incMoment) {
- moment.increment(d);
- }
- }
- /**
- * Returns the value of the statistic based on the values that have been added.
- * <p>
- * See {@link Skewness} for the definition used in the computation.
- *
- * @return the skewness of the available values.
- */
- @Override
- public double getResult() {
- if (moment.n < 3) {
- return Double.NaN;
- }
- double variance = moment.m2 / (moment.n - 1);
- if (variance < 10E-20) {
- return 0.0d;
- } else {
- double n0 = moment.getN();
- return (n0 * moment.m3) /
- ((n0 - 1) * (n0 -2) * FastMath.sqrt(variance) * variance);
- }
- }
- /** {@inheritDoc} */
- @Override
- public long getN() {
- return moment.getN();
- }
- /** {@inheritDoc} */
- @Override
- public void clear() {
- if (incMoment) {
- moment.clear();
- }
- }
- /**
- * Returns the Skewness of the entries in the specified portion of the
- * input array.
- * <p>
- * See {@link Skewness} for the definition used in the computation.
- * <p>
- * Throws <code>IllegalArgumentException</code> if the array is null.
- *
- * @param values the input array
- * @param begin the index of the first array element to include
- * @param length the number of elements to include
- * @return the skewness of the values or Double.NaN if length is less than 3
- * @throws MathIllegalArgumentException if the array is null or the array index
- * parameters are not valid
- */
- @Override
- public double evaluate(final double[] values, final int begin, final int length)
- throws MathIllegalArgumentException {
- // Initialize the skewness
- double skew = Double.NaN;
- if (MathArrays.verifyValues(values, begin, length) && length > 2 ) {
- Mean mean = new Mean();
- // Get the mean and the standard deviation
- double m = mean.evaluate(values, begin, length);
- // Calc the std, this is implemented here instead
- // of using the standardDeviation method eliminate
- // a duplicate pass to get the mean
- double accum = 0.0;
- double accum2 = 0.0;
- for (int i = begin; i < begin + length; i++) {
- final double d = values[i] - m;
- accum += d * d;
- accum2 += d;
- }
- final double variance = (accum - (accum2 * accum2 / length)) / (length - 1);
- double accum3 = 0.0;
- for (int i = begin; i < begin + length; i++) {
- final double d = values[i] - m;
- accum3 += d * d * d;
- }
- accum3 /= variance * FastMath.sqrt(variance);
- // Get N
- double n0 = length;
- // Calculate skewness
- skew = (n0 / ((n0 - 1) * (n0 - 2))) * accum3;
- }
- return skew;
- }
- /** {@inheritDoc} */
- @Override
- public Skewness copy() {
- return new Skewness(this);
- }
- }