com.opengamma.strata.math.impl.statistics.descriptive

Class SampleFisherKurtosisCalculator

java.lang.Object

com.opengamma.strata.math.impl.statistics.descriptive.SampleFisherKurtosisCalculator

All Implemented Interfaces:

Function<double[],Double>

public class SampleFisherKurtosisCalculator
extends Object
implements Function<double[],Double>

The sample Fisher kurtosis gives a measure of how heavy the tails of a distribution are with respect to the normal distribution (which has a Fisher kurtosis of zero). An estimator of the kurtosis is $$ \begin{align*} \mu_4 = \frac{(n+1)n}{(n-1)(n-2)(n-3)}\frac{\sum_{i=1}^n (x_i - \overline{x})^4}{\mu_2^2} - 3\frac{(n-1)^2}{(n-2)(n-3)} \end{align*} $$ where $\overline{x}$ is the sample mean and $\mu_2$ is the unbiased estimator of the population variance.

Fisher kurtosis is also known as the _excess kurtosis_.

Constructor Summary

Constructors

Constructor and Description
SampleFisherKurtosisCalculator()

Method Summary

Modifier and Type	Method and Description
Double	apply(double[] x)

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, compose, identity

Constructor Detail

SampleFisherKurtosisCalculator

public SampleFisherKurtosisCalculator()

Method Detail

apply

public Double apply(double[] x)

Specified by:

apply in interface Function<double[],Double>