index.js

/*
 *  Copyright 2016 Paul Brewer, Economic and Financial Technology Consulting LLC <drpaulbrewer@eaftc.com>
 *  This file is open source software.  License: The MIT License
 *
 */

/* jshint node:true,esnext:true,eqeqeq:true,undef:true,lastsemic:true,strict:true */

module.exports = function(data) {
  "use strict";
  var f, sorted, xs, ps, i, j, l, xx;
  if (Array.isArray(data) && (data.length > 0)) {
    for (i = 0, l = data.length; i < l; ++i) {
      if (typeof(data[i]) !== 'number') {
        throw new TypeError("cdf data must be an array of finite numbers, got:" + typeof(data[i]) + " at " + i);
      }
      if (!isFinite(data[i])) {
        throw new TypeError("cdf data must be an array of finite numbers, got:" + data[i] + " at " + i);
      }
    }
    sorted = data.slice().sort(function(a, b) {
      return +a - b;
    });
    xs = [];
    ps = [];
    j = 0;
    l = sorted.length;
    xs[0] = sorted[0];
    ps[0] = 1 / l;
    for (i = 1; i < l; ++i) {
      xx = sorted[i];
      if (xx === xs[j]) {
        ps[j] = (1 + i) / l;
      } else {
        j++;
        xs[j] = xx;
        ps[j] = (1 + i) / l;
      }
    }
    f = function(x) {
      if (typeof(x) !== 'number') throw new TypeError('cdf function input must be a number, got:' + typeof(x));
      if (Number.isNaN(x)) return Number.NaN;
      var left = 0,
        right = xs.length - 1,
        mid, midval, iteration;
      if (x < xs[0]) return 0;
      if (x >= xs[xs.length - 1]) return 1;
      iteration = 0;
      while ((right - left) > 1) {
        mid = Math.floor((left + right) / 2);
        midval = xs[mid];
        if (x > midval)
          left = mid;
        else if (x < midval)
          right = mid;
        else if (x === midval) {
          left = mid;
          right = mid;
        }
        ++iteration;
        if (iteration>40) throw new Error("cdf function exceeded 40 bisection iterations, aborting bisection loop");
      }
      return ps[left];
    };
    f.xs = function() {
      return xs;
    };
    f.ps = function() {
      return ps;
    };
  } else {
    // missing or zero length data
    throw new TypeError("cdf data must be an array of finite numbers, got: missing or empty array");
  }
  return f;
};