1 /* 2 * Licensed to the Apache Software Foundation (ASF) under one or more 3 * contributor license agreements. See the NOTICE file distributed with 4 * this work for additional information regarding copyright ownership. 5 * The ASF licenses this file to You under the Apache License, Version 2.0 6 * (the "License"); you may not use this file except in compliance with 7 * the License. You may obtain a copy of the License at 8 * 9 * http://www.apache.org/licenses/LICENSE-2.0 10 * 11 * Unless required by applicable law or agreed to in writing, software 12 * distributed under the License is distributed on an "AS IS" BASIS, 13 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 14 * See the License for the specific language governing permissions and 15 * limitations under the License. 16 */ 17 package org.apache.commons.statistics.descriptive; 18 19 /** 20 * Computes the sum of cubed deviations from the sample mean. This 21 * statistic is related to the third moment. 22 * 23 * <p>Uses a recursive updating formula as defined in Manca and Marin (2010), equation 10. 24 * Note that the denominator in the third term in that equation has been corrected to 25 * \( (N_1 + N_2)^2 \). Two sum of cubed deviations (SC) can be combined using: 26 * 27 * <p>\[ SC(X) = {SC}_1 + {SC}_2 + \frac{3(m_1 - m_2)({s_1}^2 - {s_2}^2) N_1 N_2}{N_1 + N_2} 28 * + \frac{(m_1 - m_2)^3((N_2 - N_1) N_1 N_2}{(N_1 + N_2)^2} \] 29 * 30 * <p>where \( N \) is the group size, \( m \) is the mean, and \( s^2 \) is the biased variance 31 * such that \( s^2 * N \) is the sum of squared deviations from the mean. Note the term 32 * \( ({s_1}^2 - {s_2}^2) N_1 N_2 == (ss_1 * N_2 - ss_2 * N_1 \) where \( ss \) is the sum 33 * of square deviations. 34 * 35 * <p>If \( N_1 \) is size 1 this reduces to: 36 * 37 * <p>\[ SC_{N+1} = {SC}_N + \frac{3(x - m) -s^2 N}{N + 1} 38 * + \frac{(x - m)^3((N - 1) N}{(N + 1)^2} \] 39 * 40 * <p>where \( s^2 N \) is the sum of squared deviations. 41 * This updating formula is identical to that used in 42 * {@code org.apache.commons.math3.stat.descriptive.moment.ThirdMoment}. 43 * 44 * <p>Supports up to 2<sup>63</sup> (exclusive) observations. 45 * This implementation does not check for overflow of the count. 46 * 47 * <p><strong>Note that this implementation is not synchronized.</strong> If 48 * multiple threads access an instance of this class concurrently, and at least 49 * one of the threads invokes the {@link java.util.function.DoubleConsumer#accept(double) accept} or 50 * {@link StatisticAccumulator#combine(StatisticResult) combine} method, it must be synchronized externally. 51 * 52 * <p>However, it is safe to use {@link java.util.function.DoubleConsumer#accept(double) accept} 53 * and {@link StatisticAccumulator#combine(StatisticResult) combine} 54 * as {@code accumulator} and {@code combiner} functions of 55 * {@link java.util.stream.Collector Collector} on a parallel stream, 56 * because the parallel implementation of {@link java.util.stream.Stream#collect Stream.collect()} 57 * provides the necessary partitioning, isolation, and merging of results for 58 * safe and efficient parallel execution. 59 * 60 * <p>References: 61 * <ul> 62 * <li>Manca and Marin (2020) 63 * Decomposition of the Sum of Cubes, the Sum Raised to the 64 * Power of Four and Codeviance. 65 * Applied Mathematics, 11, 1013-1020. 66 * <a href="https://doi.org/10.4236/am.2020.1110067">doi: 10.4236/am.2020.1110067</a> 67 * </ul> 68 * 69 * @since 1.1 70 */ 71 class SumOfCubedDeviations extends SumOfSquaredDeviations { 72 /** 2, the length limit where the sum-of-cubed deviations is zero. */ 73 static final int LENGTH_TWO = 2; 74 75 /** Sum of cubed deviations of the values that have been added. */ 76 protected double sumCubedDev; 77 78 /** 79 * Create an instance. 80 */ 81 SumOfCubedDeviations() { 82 // No-op 83 } 84 85 /** 86 * Copy constructor. 87 * 88 * @param source Source to copy. 89 */ 90 SumOfCubedDeviations(SumOfCubedDeviations source) { 91 super(source); 92 sumCubedDev = source.sumCubedDev; 93 } 94 95 /** 96 * Create an instance with the given sum of cubed and squared deviations. 97 * 98 * @param sc Sum of cubed deviations. 99 * @param ss Sum of squared deviations. 100 */ 101 SumOfCubedDeviations(double sc, SumOfSquaredDeviations ss) { 102 super(ss); 103 this.sumCubedDev = sc; 104 } 105 106 /** 107 * Create an instance with the given sum of cubed and squared deviations, 108 * and first moment. 109 * 110 * @param sc Sum of cubed deviations. 111 * @param ss Sum of squared deviations. 112 * @param m1 First moment. 113 * @param n Count of values. 114 */ 115 SumOfCubedDeviations(double sc, double ss, double m1, long n) { 116 super(ss, m1, n); 117 this.sumCubedDev = sc; 118 } 119 120 /** 121 * Returns an instance populated using the input {@code values}. 122 * 123 * <p>Note: {@code SumOfCubedDeviations} computed using {@link #accept(double) accept} may be 124 * different from this instance. 125 * 126 * @param values Values. 127 * @return {@code SumOfCubedDeviations} instance. 128 */ 129 static SumOfCubedDeviations of(double... values) { 130 if (values.length == 0) { 131 return new SumOfCubedDeviations(); 132 } 133 return create(SumOfSquaredDeviations.of(values), values); 134 } 135 136 /** 137 * Creates the sum of cubed deviations. 138 * 139 * <p>Uses the provided {@code sum} to create the first moment. 140 * This method is used by {@link DoubleStatistics} using a sum that can be reused 141 * for the {@link Sum} statistic. 142 * 143 * @param sum Sum of the values. 144 * @param values Values. 145 * @return {@code SumOfCubedDeviations} instance. 146 */ 147 static SumOfCubedDeviations create(org.apache.commons.numbers.core.Sum sum, double[] values) { 148 if (values.length == 0) { 149 return new SumOfCubedDeviations(); 150 } 151 return create(SumOfSquaredDeviations.create(sum, values), values); 152 } 153 154 /** 155 * Creates the sum of cubed deviations. 156 * 157 * @param ss Sum of squared deviations. 158 * @param values Values. 159 * @return {@code SumOfCubedDeviations} instance. 160 */ 161 private static SumOfCubedDeviations create(SumOfSquaredDeviations ss, double[] values) { 162 // Edge cases 163 final double xbar = ss.getFirstMoment(); 164 if (!Double.isFinite(xbar)) { 165 return new SumOfCubedDeviations(Double.NaN, ss); 166 } 167 if (!Double.isFinite(ss.sumSquaredDev)) { 168 // Note: If the sum-of-squared (SS) overflows then the same deviations when cubed 169 // will overflow. The *smallest* deviation to overflow SS is a full-length array of 170 // +/- values around a mean of zero, or approximately sqrt(MAX_VALUE / 2^31) = 2.89e149. 171 // In this case the sum cubed could be finite due to cancellation 172 // but this cannot be computed. Only a small array can be known to be zero. 173 return new SumOfCubedDeviations(values.length <= LENGTH_TWO ? 0 : Double.NaN, ss); 174 } 175 // Compute the sum of cubed deviations. 176 double s = 0; 177 // n=1: no deviation 178 // n=2: the two deviations from the mean are equal magnitude 179 // and opposite sign. So the sum-of-cubed deviations is zero. 180 if (values.length > LENGTH_TWO) { 181 for (final double x : values) { 182 s += pow3(x - xbar); 183 } 184 } 185 return new SumOfCubedDeviations(s, ss); 186 } 187 188 /** 189 * Returns an instance populated using the input {@code values}. 190 * 191 * <p>Note: {@code SumOfCubedDeviations} computed using {@link #accept(double) accept} may be 192 * different from this instance. 193 * 194 * @param values Values. 195 * @return {@code SumOfCubedDeviations} instance. 196 */ 197 static SumOfCubedDeviations of(int... values) { 198 // Logic shared with the double[] version with int[] lower order moments 199 if (values.length == 0) { 200 return new SumOfCubedDeviations(); 201 } 202 final IntVariance variance = IntVariance.of(values); 203 final double xbar = variance.computeMean(); 204 final double ss = variance.computeSumOfSquaredDeviations(); 205 206 double sc = 0; 207 if (values.length > LENGTH_TWO) { 208 for (final double x : values) { 209 sc += pow3(x - xbar); 210 } 211 } 212 return new SumOfCubedDeviations(sc, ss, xbar, values.length); 213 } 214 215 /** 216 * Returns an instance populated using the input {@code values}. 217 * 218 * <p>Note: {@code SumOfCubedDeviations} computed using {@link #accept(double) accept} may be 219 * different from this instance. 220 * 221 * @param values Values. 222 * @return {@code SumOfCubedDeviations} instance. 223 */ 224 static SumOfCubedDeviations of(long... values) { 225 // Logic shared with the double[] version with long[] lower order moments 226 if (values.length == 0) { 227 return new SumOfCubedDeviations(); 228 } 229 final LongVariance variance = LongVariance.of(values); 230 final double xbar = variance.computeMean(); 231 final double ss = variance.computeSumOfSquaredDeviations(); 232 233 double sc = 0; 234 if (values.length > LENGTH_TWO) { 235 for (final double x : values) { 236 sc += pow3(x - xbar); 237 } 238 } 239 return new SumOfCubedDeviations(sc, ss, xbar, values.length); 240 } 241 242 /** 243 * Compute {@code x^3}. 244 * Uses compound multiplication. 245 * 246 * @param x Value. 247 * @return x^3 248 */ 249 private static double pow3(double x) { 250 return x * x * x; 251 } 252 253 /** 254 * Updates the state of the statistic to reflect the addition of {@code value}. 255 * 256 * @param value Value. 257 */ 258 @Override 259 public void accept(double value) { 260 // Require current s^2 * N == sum-of-square deviations 261 final double ss = sumSquaredDev; 262 final double np = n; 263 super.accept(value); 264 // Terms are arranged so that values that may be zero 265 // (np, ss) are first. This will cancel any overflow in 266 // multiplication of later terms (nDev * 3 and nDev^2). 267 // This handles initialisation when np in {0, 1) to zero 268 // for any deviation (e.g. series MAX_VALUE, -MAX_VALUE). 269 // Note: account for the half-deviation representation by scaling by 6=3*2; 8=2^3 270 sumCubedDev = sumCubedDev - 271 ss * nDev * 6 + 272 (np - 1.0) * np * nDev * nDev * dev * 8; 273 } 274 275 /** 276 * Gets the sum of cubed deviations of all input values. 277 * 278 * <p>Note that the sum is subject to cancellation of potentially large 279 * positive and negative terms. A non-finite result may be returned 280 * due to intermediate overflow when the exact result may be a representable 281 * {@code double}. 282 * 283 * <p>Note: Any non-finite result should be considered a failed computation. 284 * The result is returned as computed and not consolidated to a single NaN. 285 * This is done for testing purposes to allow the result to be reported. 286 * In particular the sign of an infinity may not indicate the direction 287 * of the asymmetry (if any), only the direction of the first overflow in the 288 * computation. In the event of further overflow of a term to an opposite signed 289 * infinity the sum will be {@code NaN}. 290 * 291 * @return sum of cubed deviations of all values. 292 */ 293 double getSumOfCubedDeviations() { 294 return Double.isFinite(getFirstMoment()) ? sumCubedDev : Double.NaN; 295 } 296 297 /** 298 * Combines the state of another {@code SumOfCubedDeviations} into this one. 299 * 300 * @param other Another {@code SumOfCubedDeviations} to be combined. 301 * @return {@code this} instance after combining {@code other}. 302 */ 303 SumOfCubedDeviations combine(SumOfCubedDeviations other) { 304 if (n == 0) { 305 sumCubedDev = other.sumCubedDev; 306 } else if (other.n != 0) { 307 // Avoid overflow to compute the difference. 308 // This allows any samples of size n=1 to be combined as their SS=0. 309 // The result is a SC=0 for the combined n=2. 310 final double halfDiffOfMean = getFirstMomentHalfDifference(other); 311 sumCubedDev += other.sumCubedDev; 312 // Add additional terms that do not cancel to zero 313 if (halfDiffOfMean != 0) { 314 final double n1 = n; 315 final double n2 = other.n; 316 if (n1 == n2) { 317 // Optimisation where sizes are equal in double-precision. 318 // This is of use in JDK streams as spliterators use a divide by two 319 // strategy for parallel streams. 320 sumCubedDev += (sumSquaredDev - other.sumSquaredDev) * halfDiffOfMean * 3; 321 } else { 322 final double n1n2 = n1 + n2; 323 final double dm = 2 * (halfDiffOfMean / n1n2); 324 sumCubedDev += (sumSquaredDev * n2 - other.sumSquaredDev * n1) * dm * 3 + 325 (n2 - n1) * (n1 * n2) * pow3(dm) * n1n2; 326 } 327 } 328 } 329 super.combine(other); 330 return this; 331 } 332 }