[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs,1.4,1.5

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25089/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
Added statistic methods for getting Percentile, Median and DecileAverage (even though these methods are not used by the project, at the moment).

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** BasicFunctions.cs	22 Aug 2004 16:52:40 -0000	1.4
--- BasicFunctions.cs	21 Aug 2005 10:09:23 -0000	1.5
***************
*** 22,25 ****
--- 22,26 ----
  
  using System;
+ using QuantProject.ADT.Statistics;
  
  namespace QuantProject.ADT.Statistics
***************
*** 30,34 ****
  	public class BasicFunctions
  	{
!     static public  double Sum( double[] data ) 
      {
        double sum = 0;
--- 31,44 ----
  	public class BasicFunctions
  	{
!    	private static double[] orderedData;
!     
!     static private void setOrderedData(double[] data)
!     {
!   	 	orderedData = new double[data.Length];
!       data.CopyTo(orderedData,0);
!       Array.Sort(orderedData);
!     }
! 		
! 		static public  double Sum( double[] data )
      {
        double sum = 0;
***************
*** 185,190 ****
          throw new Exception("The two variables haven't the same length!");
      }
  	}	
  }		
  
! 		
\ No newline at end of file
--- 195,276 ----
          throw new Exception("The two variables haven't the same length!");
      }
+ 		
+ 		/// <summary>
+     /// Returns the t-th percentile for a given set of data
+     /// </summary>
+     /// <param name="data">Data for which t-th percentile is to be computed </param>
+     /// <param name="percentileNumber">A number between 0 and 100, corresponding
+     ///  to the requested t-th percentile	</param>
+     static public double Percentile(double[] data,
+                                     int percentileNumber)
+     {
+     	if(percentileNumber<0 || percentileNumber >100)
+     		throw new Exception("percentileNumber has to be a number between 0 and 100!");
+     	setOrderedData(data);
+     	int n = orderedData.Length;
+     	double np = ((double)n+1) * (double)percentileNumber/100.0;
+       if(np<=1.0)
+         return orderedData[0];
+       if(np>=n)
+         return orderedData[n-1];
+       
+       int integerPart_np = (int)Math.Floor(np);
+       double fractionalPart_np = np - integerPart_np;
+       //if np is not a whole number, it has to be returned a
+       // number between two data points
+       // In this implementation the method used to return such number
+       // is based on a simple interpolation 
+       return (orderedData[integerPart_np-1] +
+               fractionalPart_np* (orderedData[integerPart_np] - orderedData[integerPart_np-1]));
+      
+     }
+ 	    
+     /// <summary>
+     /// Returns the median for a given set of  data
+     /// (Median is the value, belonging or not to the given set of data, such that
+     /// number of data points below that value is equal to the number of data points
+     /// above that value)
+     /// </summary>
+     /// <param name="data">Data for which median is to be computed</param>
+     static public double Median(double[] data)
+     {
+     	return Percentile(data, 50);
+     }
+     
+     /// <summary>
+     /// Returns the average value for the given decile of
+     /// a given set of data
+     /// </summary>
+     /// <param name="data">The set of data</param>
+     /// <param name="decileNumber">The decile for which the average has to be computed</param>
+     static public double GetDecileAverage(double[] data,
+                                          	int decileNumber)
+     {
+     	if(decileNumber<1 || decileNumber >9)
+     		throw new Exception("decileNumber has to be a number between 1 and 9!");
+     	
+     	double firstCorrespondingPercentile =
+     		Percentile(data, decileNumber * 10 - 10);
+     	double secondCorrespondingPercentile = 
+     		Percentile(data, decileNumber * 10);
+     	double totalBetweenPercentiles = 0.0;
+     	int numberOfDataPointsBetweenPercentiles = 0;
+     	for(int i = 0; i<orderedData.Length; i++)
+     	{
+     		if(orderedData[i]>= firstCorrespondingPercentile &&
+     		   orderedData[i]< secondCorrespondingPercentile)
+     		{
+     			numberOfDataPointsBetweenPercentiles++;
+     			totalBetweenPercentiles += orderedData[i];
+     		}
+     		
+     	}
+     	
+     	return totalBetweenPercentiles/numberOfDataPointsBetweenPercentiles;
+     }
+     
+     
  	}	
  }		
  
!