1 /* 2 * Licensed to the Apache Software Foundation (ASF) under one or more 3 * contributor license agreements. See the NOTICE file distributed with 4 * this work for additional information regarding copyright ownership. 5 * The ASF licenses this file to You under the Apache License, Version 2.0 6 * (the "License"); you may not use this file except in compliance with 7 * the License. You may obtain a copy of the License at 8 * 9 * http://www.apache.org/licenses/LICENSE-2.0 10 * 11 * Unless required by applicable law or agreed to in writing, software 12 * distributed under the License is distributed on an "AS IS" BASIS, 13 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 14 * See the License for the specific language governing permissions and 15 * limitations under the License. 16 */ 17 package org.apache.commons.math4.legacy.stat.descriptive.moment; 18 19 import org.apache.commons.math4.legacy.exception.MathIllegalArgumentException; 20 import org.apache.commons.math4.legacy.exception.NullArgumentException; 21 import org.apache.commons.math4.legacy.stat.descriptive.AbstractStorelessUnivariateStatistic; 22 import org.apache.commons.math4.core.jdkmath.JdkMath; 23 import org.apache.commons.math4.legacy.core.MathArrays; 24 25 26 /** 27 * Computes the Kurtosis of the available values. 28 * <p> 29 * We use the following (unbiased) formula to define kurtosis:</p> 30 * <p> 31 * kurtosis = { [n(n+1) / (n -1)(n - 2)(n-3)] sum[(x_i - mean)^4] / std^4 } - [3(n-1)^2 / (n-2)(n-3)] 32 * </p><p> 33 * where n is the number of values, mean is the {@link Mean} and std is the 34 * {@link StandardDeviation}</p> 35 * <p> 36 * Note that this statistic is undefined for {@code n < 4}. <code>Double.Nan</code> 37 * is returned when there is not sufficient data to compute the statistic. 38 * Note that Double.NaN may also be returned if the input includes NaN 39 * and / or infinite values.</p> 40 * <p> 41 * <strong>Note that this implementation is not synchronized.</strong> If 42 * multiple threads access an instance of this class concurrently, and at least 43 * one of the threads invokes the <code>increment()</code> or 44 * <code>clear()</code> method, it must be synchronized externally.</p> 45 */ 46 public class Kurtosis extends AbstractStorelessUnivariateStatistic { 47 /**Fourth Moment on which this statistic is based. */ 48 protected FourthMoment moment; 49 50 /** 51 * Determines whether or not this statistic can be incremented or cleared. 52 * <p> 53 * Statistics based on (constructed from) external moments cannot 54 * be incremented or cleared.</p> 55 */ 56 protected boolean incMoment; 57 58 /** 59 * Construct a Kurtosis. 60 */ 61 public Kurtosis() { 62 incMoment = true; 63 moment = new FourthMoment(); 64 } 65 66 /** 67 * Construct a Kurtosis from an external moment. 68 * 69 * @param m4 external Moment 70 */ 71 public Kurtosis(final FourthMoment m4) { 72 incMoment = false; 73 this.moment = m4; 74 } 75 76 /** 77 * Copy constructor, creates a new {@code Kurtosis} identical 78 * to the {@code original}. 79 * 80 * @param original the {@code Kurtosis} instance to copy 81 * @throws NullArgumentException if original is null 82 */ 83 public Kurtosis(Kurtosis original) throws NullArgumentException { 84 copy(original, this); 85 } 86 87 /** 88 * {@inheritDoc} 89 * <p>Note that when {@link #Kurtosis(FourthMoment)} is used to 90 * create a Variance, this method does nothing. In that case, the 91 * FourthMoment should be incremented directly.</p> 92 */ 93 @Override 94 public void increment(final double d) { 95 if (incMoment) { 96 moment.increment(d); 97 } 98 } 99 100 /** 101 * {@inheritDoc} 102 */ 103 @Override 104 public double getResult() { 105 double kurtosis = Double.NaN; 106 if (moment.getN() > 3) { 107 double variance = moment.m2 / (moment.n - 1); 108 if (moment.n <= 3 || variance < 10E-20) { 109 kurtosis = 0.0; 110 } else { 111 double n = moment.n; 112 kurtosis = 113 (n * (n + 1) * moment.getResult() - 114 3 * moment.m2 * moment.m2 * (n - 1)) / 115 ((n - 1) * (n -2) * (n -3) * variance * variance); 116 } 117 } 118 return kurtosis; 119 } 120 121 /** 122 * {@inheritDoc} 123 */ 124 @Override 125 public void clear() { 126 if (incMoment) { 127 moment.clear(); 128 } 129 } 130 131 /** 132 * {@inheritDoc} 133 */ 134 @Override 135 public long getN() { 136 return moment.getN(); 137 } 138 139 /* UnivariateStatistic Approach */ 140 141 /** 142 * Returns the kurtosis of the entries in the specified portion of the 143 * input array. 144 * <p> 145 * See {@link Kurtosis} for details on the computing algorithm.</p> 146 * <p> 147 * Throws <code>IllegalArgumentException</code> if the array is null.</p> 148 * 149 * @param values the input array 150 * @param begin index of the first array element to include 151 * @param length the number of elements to include 152 * @return the kurtosis of the values or Double.NaN if length is less than 4 153 * @throws MathIllegalArgumentException if the input array is null or the array 154 * index parameters are not valid 155 */ 156 @Override 157 public double evaluate(final double[] values, final int begin, final int length) 158 throws MathIllegalArgumentException { 159 160 // Initialize the kurtosis 161 double kurt = Double.NaN; 162 163 if (MathArrays.verifyValues(values, begin, length) && length > 3) { 164 // Compute the mean and standard deviation 165 Variance variance = new Variance(); 166 variance.incrementAll(values, begin, length); 167 double mean = variance.moment.m1; 168 double stdDev = JdkMath.sqrt(variance.getResult()); 169 170 // Sum the ^4 of the distance from the mean divided by the 171 // standard deviation 172 double accum3 = 0.0; 173 for (int i = begin; i < begin + length; i++) { 174 accum3 += JdkMath.pow(values[i] - mean, 4.0); 175 } 176 accum3 /= JdkMath.pow(stdDev, 4.0d); 177 178 // Get N 179 double n0 = length; 180 181 double coefficientOne = 182 (n0 * (n0 + 1)) / ((n0 - 1) * (n0 - 2) * (n0 - 3)); 183 double termTwo = 184 (3 * JdkMath.pow(n0 - 1, 2.0)) / ((n0 - 2) * (n0 - 3)); 185 186 // Calculate kurtosis 187 kurt = (coefficientOne * accum3) - termTwo; 188 } 189 return kurt; 190 } 191 192 /** 193 * {@inheritDoc} 194 */ 195 @Override 196 public Kurtosis copy() { 197 Kurtosis result = new Kurtosis(); 198 // No try-catch because args are guaranteed non-null 199 copy(this, result); 200 return result; 201 } 202 203 /** 204 * Copies source to dest. 205 * <p>Neither source nor dest can be null.</p> 206 * 207 * @param source Kurtosis to copy 208 * @param dest Kurtosis to copy to 209 * @throws NullArgumentException if either source or dest is null 210 */ 211 public static void copy(Kurtosis source, Kurtosis dest) 212 throws NullArgumentException { 213 NullArgumentException.check(source); 214 NullArgumentException.check(dest); 215 dest.moment = source.moment.copy(); 216 dest.incMoment = source.incMoment; 217 } 218 }