Examples of MedianCalculator

com.opengamma.analytics.math.statistics.descriptive.MedianCalculator
Calculates the median of a series of data.
If the data are sorted from lowest to highest $(x_1, x_2, \dots, x_n)$, the median is given by $$ \begin{align*} m = \begin{cases} x_{\frac{n+1}{2}}\quad & n \text{ odd}\\ \frac{1}{2}\left(x_{\frac{n}{2}} + x_{\frac{n}{2} + 1}\right)\quad & n \text{ even} \end{cases} \end{align*} $$

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

  public void test() {
    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);

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

  }


  @Test
  public void testDistribution() {
    final Function1D<double[], Double> meanCalculator = new MeanCalculator();
    final Function1D<double[], Double> medianCalculator = new MedianCalculator();
    final Function1D<double[], Double> varianceCalculator = new PopulationVarianceCalculator();
    final int n = 1000000;
    final double eps = 0.1;
    final double[] data = new double[n];
    for (int i = 0; i < n; i++) {
      data[i] = DIST.nextRandom();
    }
    final double mean = MU + SIGMA / (1 - KSI);
    final double median = MU + SIGMA * (Math.pow(2, KSI) - 1) / KSI;
    final double variance = SIGMA * SIGMA / ((1 - KSI) * (1 - KSI) * (1 - 2 * KSI));
    assertEquals(meanCalculator.evaluate(data), mean, eps);
    assertEquals(medianCalculator.evaluate(data), median, eps);
    assertEquals(varianceCalculator.evaluate(data), variance, eps);
  }

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

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


    MedianCalculator median = new MedianCalculator();


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


    return median.evaluate(spreads);
  }

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