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 }