/**
* 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 TurningPointIIDHypothesis extends IIDHypothesis {
private final double _criticalValue;
public TurningPointIIDHypothesis(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();
final int n = data.length;
int t = 0;
double x0, x1, x2;
for (int i = 1; i < n - 1; i++) {
x0 = data[i - 1];
x1 = data[i];
x2 = data[i + 1];
if (x1 > x0 && x1 > x2) {
t++;
} else if (x1 < x0 && x1 < x2) {
t++;
}
}
final double mean = 2 * (n - 2.) / 3.;
final double std = Math.sqrt((16 * n - 29.) / 90.);
return Math.abs(t - mean) / std < _criticalValue;
}
}