protected internal override QuantileResult expectedShortfall(double level, DoubleArray sample)
{
ArgChecker.isTrue(level > 0, "Quantile should be above 0.");
ArgChecker.isTrue(level < 1, "Quantile should be below 1.");
int sampleSize = sampleCorrection(sample.size());
double[] order = createIndexArray(sample.size());
double[] s = sample.toArray();
DoubleArrayMath.sortPairs(s, order);
double fractionalIndex = level * sampleSize;
int index = (int)checkIndex(this.index(fractionalIndex), sample.size(), true);
int[] indices = new int[index];
double[] weights = new double[index];
double interval = 1d / (double)sampleSize;
double losses = s[0] * interval *indexShift();
for (int i = 0; i < index - 1; i++)
{
losses += s[i] * interval;
indices[i] = (int)order[i];
weights[i] = interval;
}
losses += s[index - 1] * (fractionalIndex - index + 1 - indexShift()) * interval;
indices[index - 1] = (int)order[index - 1];
weights[0] += interval * indexShift();
weights[index - 1] = (fractionalIndex - index + 1 - indexShift()) * interval;
return(QuantileResult.of(losses / level, indices, DoubleArray.ofUnsafe(weights).dividedBy(level)));
}
private void check_quantile(double level)
{
double[] w = METHOD.weights(DATA_123.size());
double qComputed = METHOD.quantileFromUnsorted(level, DATA_123);
double WI1 = 0.0d;
int nbW = 0;
for (int i = 0; i < DATA_123.size(); i++)
{
if (DATA_123.get(i) > qComputed)
{
WI1 += w[i];
nbW++;
}
}
assertTrue(WI1 < 1.0d - level, "Weight of tail lower than level");
double[] w2 = w.Clone();
double[] data = DATA_123.toArray();
DoubleArrayMath.sortPairs(data, w2);
double WI = WI1 + w2[w.Length - 1 - nbW];
assertTrue(WI > 1.0d - level, "Weight of tail+1 larger than level");
double alpha = (WI - (1 - level)) / (WI - WI1);
double qExpected = (1 - alpha) * data[w.Length - 1 - nbW] + alpha * data[w.Length - 1 - nbW + 1];
assertEquals(qComputed, qExpected, TOLERANCE_WEIGHT, "Quantile.");
}
protected internal override QuantileResult quantile(double level, DoubleArray sample, bool isExtrapolated)
{
ArgChecker.isTrue(level > 0, "Quantile should be above 0.");
ArgChecker.isTrue(level < 1, "Quantile should be below 1.");
int sampleSize = sampleCorrection(sample.size());
double[] order = createIndexArray(sample.size());
double[] s = sample.toArray();
DoubleArrayMath.sortPairs(s, order);
int index = (int)checkIndex(this.index(level * sampleSize), sample.size(), isExtrapolated);
int[] ind = new int[1];
ind[0] = (int)order[index - 1];
return(QuantileResult.of(s[index - 1], ind, DoubleArray.of(1)));
}
