/**
* 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 org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.analytics.math.statistics.distribution.ProbabilityDistribution;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class SampleAutocorrelationIIDHypothesis extends IIDHypothesis {
private static final Logger s_logger = LoggerFactory.getLogger(SampleAutocorrelationIIDHypothesis.class);
private final Function1D<DoubleTimeSeries<?>, double[]> _calculator = new AutocorrelationFunctionCalculator();
private final double _level;
private final double _criticalValue;
private final int _h;
public SampleAutocorrelationIIDHypothesis(final double level, final int maxLag) {
if (!ArgumentChecker.isInRangeExcludingLow(0, 1, level)) {
throw new IllegalArgumentException("Level must be between 0 and 1");
}
if (maxLag == 0) {
throw new IllegalArgumentException("Lag cannot be zero");
}
if (maxLag < 0) {
s_logger.warn("Maximum lag was less than zero; using absolute value");
}
_level = level;
final ProbabilityDistribution<Double> normal = new NormalDistribution(0, 1);
_criticalValue = normal.getInverseCDF(1 - level / 2.);
_h = maxLag;
}
@Override
public boolean testIID(final DoubleTimeSeries<?> x) {
Validate.notNull(x, "x");
if (x.size() < _h) {
throw new IllegalArgumentException("Time series must have at least " + _h + " points");
}
final double[] autocorrelations = _calculator.evaluate(x);
final double upper = _criticalValue / Math.sqrt(x.size());
final double lower = -upper;
double violations = 0;
double value;
for (int i = 1; i < _h; i++) {
value = autocorrelations[i];
if (value > upper || value < lower) {
violations++;
}
}
if (violations / _h > _level) {
return false;
}
return true;
}
}