Examples of com.opengamma.analytics.math.statistics.descriptive.SampleVarianceCalculator

Package com.opengamma.analytics.math.statistics.descriptive

Examples of com.opengamma.analytics.math.statistics.descriptive.SampleVarianceCalculator

com.opengamma.analytics.math.statistics.descriptive.SampleVarianceCalculator
Calculates the sample variance of a series of data.
The unbiased sample variance $\mathrm{var}$ of a series $x_1, x_2, \dots, x_n$ is given by: $$ \begin{align*} \text{var} = \frac{1}{n-1}\sum_{i=1}^{n}(x_i - \overline{x})^2 \end{align*} $$ where $\overline{x}$ is the sample mean. For the population variance, see {@link PopulationVarianceCalculator}.

        assertTrue(rho[i] < LIMIT);
      }
    }
    final Double mean = new DoubleTimeSeriesStatisticsCalculator(new MeanCalculator()).evaluate(MA);
    assertEquals(mean, THETA[0], eps);
    final Double variance = new DoubleTimeSeriesStatisticsCalculator(new SampleVarianceCalculator()).evaluate(MA);
    double sum = 1;
    for (int i = 1; i <= ORDER; i++) {
      sum += THETA[i] * THETA[i];
    }
    assertEquals(variance, sum * STD * STD, eps);

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    assertCDFWithNull(LAPLACE);
    assertPDFWithNull(LAPLACE);
    assertInverseCDFWithNull(LAPLACE);
    final double mean = new MeanCalculator().evaluate(DATA);
    final double median = new MedianCalculator().evaluate(DATA);
    final double variance = new SampleVarianceCalculator().evaluate(DATA);
    final double skew = new SampleSkewnessCalculator().evaluate(DATA);
    final double kurtosis = new SampleFisherKurtosisCalculator().evaluate(DATA);
    assertEquals(mean, MU, EPS1);
    assertEquals(median, MU, EPS1);
    assertEquals(variance, 2 * B * B, EPS1);

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    ArgumentChecker.notNull(underlyingPool, "Underlying pool");
    ArgumentChecker.notNull(creditSpreadTenors, "Credit spread tenors");
    ArgumentChecker.notNull(creditSpreadTermStructures, "Credit spread term structures");
    ArgumentChecker.notNull(creditSpreadTenor, "Credit spread tenor");


    SampleVarianceCalculator variance = new SampleVarianceCalculator();


    double[] spreads = getSpreads(underlyingPool, creditSpreadTenors, creditSpreadTermStructures, creditSpreadTenor);


    return variance.evaluate(spreads);
  }

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com.opengamma.analytics.financial.credit.underlyingpool.pricing.UnderlyingPoolDescriptiveStatistics

com.opengamma.analytics.financial.timeseries.model.MovingAverageTimeSeriesModelTest

com.opengamma.analytics.math.statistics.distribution.LaplaceDistributionTest

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