/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.analysis;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class RankTestIIDHypothesis extends IIDHypothesis {
private final double _criticalValue;
public RankTestIIDHypothesis(final double level) {
if (!ArgumentChecker.isInRangeExcludingLow(0, 1, level)) {
throw new IllegalArgumentException("Level must be between 0 and 1");
}
_criticalValue = new NormalDistribution(0, 1).getInverseCDF(1 - level / 2.);
}
@Override
public boolean testIID(final DoubleTimeSeries<?> x) {
Validate.notNull(x, "x");
final double[] data = x.valuesArrayFast();
int t = 0;
final int n = x.size();
double val;
for (int i = 0; i < n - 1; i++) {
val = data[i];
for (int j = i + 1; j < n; j++) {
if (data[j] > val) {
t++;
}
}
}
final double mean = n * (n - 1) / 4.;
final double std = Math.sqrt(n * (n - 1) * (2 * n + 5.) / 72.);
return Math.abs(t - mean) / std < _criticalValue;
}
}