Examples of com.opengamma.analytics.math.statistics.descriptive.SampleSkewnessCalculator

Package com.opengamma.analytics.math.statistics.descriptive

Examples of com.opengamma.analytics.math.statistics.descriptive.SampleSkewnessCalculator

com.opengamma.analytics.math.statistics.descriptive.SampleSkewnessCalculator
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.

    assertPDFWithNull(LAPLACE);
    assertInverseCDFWithNull(LAPLACE);
    final double mean = new MeanCalculator().evaluate(DATA);
    final double median = new MedianCalculator().evaluate(DATA);
    final double variance = new SampleVarianceCalculator().evaluate(DATA);
    final double skew = new SampleSkewnessCalculator().evaluate(DATA);
    final double kurtosis = new SampleFisherKurtosisCalculator().evaluate(DATA);
    assertEquals(mean, MU, EPS1);
    assertEquals(median, MU, EPS1);
    assertEquals(variance, 2 * B * B, EPS1);
    assertEquals(skew, 0, EPS1);

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    ArgumentChecker.notNull(underlyingPool, "Underlying pool");
    ArgumentChecker.notNull(creditSpreadTenors, "Credit spread tenors");
    ArgumentChecker.notNull(creditSpreadTermStructures, "Credit spread term structures");
    ArgumentChecker.notNull(creditSpreadTenor, "Credit spread tenor");


    SampleSkewnessCalculator skewness = new SampleSkewnessCalculator();


    double[] spreads = getSpreads(underlyingPool, creditSpreadTenors, creditSpreadTermStructures, creditSpreadTenor);


    return skewness.evaluate(spreads);
  }

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com.opengamma.analytics.financial.credit.underlyingpool.pricing.UnderlyingPoolDescriptiveStatistics

com.opengamma.analytics.math.statistics.distribution.LaplaceDistributionTest

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