/** * @license Apache-2.0 * * Copyright (c) 2018 The Stdlib Authors. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ 'use strict'; // MODULES // var isnan = require( '@stdlib/math/base/assert/is-nan' ); // MAIN // /** * Returns an accumulator function which incrementally computes a corrected sample excess kurtosis. * * ## Method * * The algorithm computes the sample excess kurtosis using the formula for `G_2` in [Joanes and Gill 1998][@joanes:1998]. In contrast to alternatives for calculating a sample kurtosis, `G_2` is an unbiased estimator under normality. * * ## References * * - Joanes, D. N., and C. A. Gill. 1998. "Comparing measures of sample skewness and kurtosis." _Journal of the Royal Statistical Society: Series D (The Statistician)_ 47 (1). Blackwell Publishers Ltd: 183–89. doi:[10.1111/1467-9884.00122][@joanes:1998]. * * [@joanes:1998]: http://dx.doi.org/10.1111/1467-9884.00122 * * @returns {Function} accumulator function * * @example * var accumulator = incrkurtosis(); * * var kurtosis = accumulator(); * // returns null * * kurtosis = accumulator( 2.0 ); * // returns null * * kurtosis = accumulator( 2.0 ); * // returns null * * kurtosis = accumulator( -4.0 ); * // returns null * * kurtosis = accumulator( -4.0 ); * // returns -6.0 */ function incrkurtosis() { var deltaN2; var deltaN; var delta; var term1; var mean; var tmp; var g2; var M2; var M3; var M4; var N; deltaN2 = 0.0; deltaN = 0.0; delta = 0.0; term1 = 0.0; mean = 0.0; M2 = 0.0; M3 = 0.0; M4 = 0.0; N = 0; return accumulator; /** * If provided a value, the accumulator function returns an updated corrected sample excess kurtosis. If not provided a value, the accumulator function returns the current corrected sample excess kurtosis. * * @private * @param {number} [x] - new value * @returns {(number|null)} corrected sample excess kurtosis */ function accumulator( x ) { if ( arguments.length === 0 ) { if ( N < 4 ) { return ( isnan( M4 ) ) ? NaN : null; } // Calculate the population excess kurtosis: g2 = (( N*M4 ) / ( M2*M2 )) - 3.0; // Return the corrected sample excess kurtosis: return (N-1) / ( (N-2)*(N-3) ) * ( ((N+1)*g2) + 6.0 ); } N += 1; delta = x - mean; deltaN = delta / N; deltaN2 = deltaN * deltaN; term1 = delta * deltaN * (N-1); tmp = term1 * deltaN2 * ((N*N) - (3*N) + 3); tmp += 6.0 * deltaN2 * M2; tmp -= 4.0 * deltaN * M3; M4 += tmp; tmp = term1 * deltaN * (N-2); tmp -= 3.0 * deltaN * M2; M3 += tmp; M2 += term1; mean += deltaN; if ( N < 4 ) { return ( isnan( M4 ) ) ? NaN : null; } // Calculate the population excess kurtosis: g2 = (N*M4 / ( M2*M2 )) - 3.0; // Return the corrected sample excess kurtosis: return (N-1) / ( (N-2)*(N-3) ) * ( ((N+1)*g2) + 6.0 ); } } // EXPORTS // module.exports = incrkurtosis;