Package org.apache.commons.math4.stat.descriptive.moment

Class SemiVariance

java.lang.Object
org.apache.commons.math4.stat.descriptive.AbstractUnivariateStatistic
org.apache.commons.math4.stat.descriptive.moment.SemiVariance
All Implemented Interfaces:
java.io.Serializable, UnivariateStatistic, MathArrays.Function
public class SemiVariance
extends AbstractUnivariateStatistic
implements java.io.Serializable

Computes the semivariance of a set of values with respect to a given cutoff value. We define the downside semivariance of a set of values x against the cutoff value cutoff to be
Σ (x[i] - target)2 / df
where the sum is taken over all i such that x[i] < cutoff and df is the length of x (non-bias-corrected) or one less than this number (bias corrected). The upside semivariance is defined similarly, with the sum taken over values of x that exceed the cutoff value.

The cutoff value defaults to the mean, bias correction defaults to true and the "variance direction" (upside or downside) defaults to downside. The variance direction and bias correction may be set using property setters or their values can provided as parameters to evaluate(double[], double, Direction, boolean, int, int).

If the input array is null, evaluate methods throw IllegalArgumentException. If the array has length 1, 0 is returned, regardless of the value of the cutoff.

Note that this class is not intended to be threadsafe. If multiple threads access an instance of this class concurrently, and one or more of these threads invoke property setters, external synchronization must be provided to ensure correct results.

Since:
2.1
See Also:
Serialized Form

  • Nested Class Summary

    Nested Classes 
    Modifier and Type Class Description
    static class  SemiVariance.Direction
    The direction of the semivariance - either upside or downside.

  • Field Summary

    Fields 
    Modifier and Type Field Description
    static SemiVariance.Direction DOWNSIDE_VARIANCE
    The DOWNSIDE Direction is used to specify that the observations below the cutoff point will be used to calculate SemiVariance
    static SemiVariance.Direction UPSIDE_VARIANCE
    The UPSIDE Direction is used to specify that the observations above the cutoff point will be used to calculate SemiVariance.

  • Constructor Summary

    Constructors 
    Constructor Description
    SemiVariance()
    Constructs a SemiVariance with default (true) biasCorrected property and default (Downside) varianceDirection property.
    SemiVariance​(boolean biasCorrected)
    Constructs a SemiVariance with the specified biasCorrected property and default (Downside) varianceDirection property.
    SemiVariance​(boolean corrected, SemiVariance.Direction direction)
    Constructs a SemiVariance with the specified isBiasCorrected property and the specified Direction property.
    SemiVariance​(SemiVariance original)
    Copy constructor, creates a new SemiVariance identical to the original.
    SemiVariance​(SemiVariance.Direction direction)
    Constructs a SemiVariance with the specified Direction property and default (true) biasCorrected property

  • Method Summary

    Modifier and Type Method Description
    SemiVariance copy()
    Returns a copy of the statistic with the same internal state.
    static void copy​(SemiVariance source, SemiVariance dest)
    Copies source to dest.
    double evaluate​(double[] values, double cutoff)
    Returns the SemiVariance of the designated values against the cutoff, using instance properties variancDirection and biasCorrection.
    double evaluate​(double[] values, double cutoff, SemiVariance.Direction direction)
    Returns the SemiVariance of the designated values against the cutoff in the given direction, using the current value of the biasCorrection instance property.
    double evaluate​(double[] values, double cutoff, SemiVariance.Direction direction, boolean corrected, int start, int length)
    Returns the SemiVariance of the designated values against the cutoff in the given direction with the provided bias correction.
    double evaluate​(double[] values, int start, int length)
    Returns the SemiVariance of the designated values against the mean, using instance properties varianceDirection and biasCorrection.
    double evaluate​(double[] values, SemiVariance.Direction direction)
    This method calculates SemiVariance for the entire array against the mean, using the current value of the biasCorrection instance property.
    SemiVariance.Direction getVarianceDirection()
    Returns the varianceDirection property.
    boolean isBiasCorrected()
    Returns true iff biasCorrected property is set to true.
    void setBiasCorrected​(boolean biasCorrected)
    Sets the biasCorrected property.
    void setVarianceDirection​(SemiVariance.Direction varianceDirection)
    Sets the variance direction

    Methods inherited from class org.apache.commons.math4.stat.descriptive.AbstractUnivariateStatistic

    evaluate, evaluate, getData, getDataRef, setData, setData

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • UPSIDE_VARIANCE

      public static final SemiVariance.Direction UPSIDE_VARIANCE
      The UPSIDE Direction is used to specify that the observations above the cutoff point will be used to calculate SemiVariance.

    • DOWNSIDE_VARIANCE

      public static final SemiVariance.Direction DOWNSIDE_VARIANCE
      The DOWNSIDE Direction is used to specify that the observations below the cutoff point will be used to calculate SemiVariance

  • Constructor Details

    • SemiVariance

      public SemiVariance()
      Constructs a SemiVariance with default (true) biasCorrected property and default (Downside) varianceDirection property.

    • SemiVariance

      public SemiVariance​(boolean biasCorrected)
      Constructs a SemiVariance with the specified biasCorrected property and default (Downside) varianceDirection property.
      Parameters:
      biasCorrected - setting for bias correction - true means bias will be corrected and is equivalent to using the argumentless constructor

    • SemiVariance

      public SemiVariance​(SemiVariance.Direction direction)
      Constructs a SemiVariance with the specified Direction property and default (true) biasCorrected property
      Parameters:
      direction - setting for the direction of the SemiVariance to calculate

    • SemiVariance

      public SemiVariance​(boolean corrected, SemiVariance.Direction direction)
      Constructs a SemiVariance with the specified isBiasCorrected property and the specified Direction property.
      Parameters:
      corrected - setting for bias correction - true means bias will be corrected and is equivalent to using the argumentless constructor
      direction - setting for the direction of the SemiVariance to calculate

    • SemiVariance

      public SemiVariance​(SemiVariance original) throws NullArgumentException
      Copy constructor, creates a new SemiVariance identical to the original.
      Parameters:
      original - the SemiVariance instance to copy
      Throws:
      NullArgumentException - if original is null

  • Method Details