| /////////////////////////////////////////////////////////////////////////////// |
| // weighted_tail_quantile.hpp |
| // |
| // Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost |
| // Software License, Version 1.0. (See accompanying file |
| // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
| |
| #ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_QUANTILE_HPP_DE_01_01_2006 |
| #define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_QUANTILE_HPP_DE_01_01_2006 |
| |
| #include <vector> |
| #include <limits> |
| #include <functional> |
| #include <sstream> |
| #include <stdexcept> |
| #include <boost/throw_exception.hpp> |
| #include <boost/parameter/keyword.hpp> |
| #include <boost/mpl/placeholders.hpp> |
| #include <boost/mpl/if.hpp> |
| #include <boost/type_traits/is_same.hpp> |
| #include <boost/accumulators/numeric/functional.hpp> |
| #include <boost/accumulators/framework/depends_on.hpp> |
| #include <boost/accumulators/framework/accumulator_base.hpp> |
| #include <boost/accumulators/framework/extractor.hpp> |
| #include <boost/accumulators/framework/parameters/sample.hpp> |
| #include <boost/accumulators/statistics_fwd.hpp> |
| #include <boost/accumulators/statistics/tail.hpp> |
| #include <boost/accumulators/statistics/tail_quantile.hpp> |
| #include <boost/accumulators/statistics/parameters/quantile_probability.hpp> |
| |
| #ifdef _MSC_VER |
| # pragma warning(push) |
| # pragma warning(disable: 4127) // conditional expression is constant |
| #endif |
| |
| namespace boost { namespace accumulators |
| { |
| |
| namespace impl |
| { |
| /////////////////////////////////////////////////////////////////////////////// |
| // weighted_tail_quantile_impl |
| // Tail quantile estimation based on order statistics of weighted samples |
| /** |
| @brief Tail quantile estimation based on order statistics of weighted samples (for both left and right tails) |
| |
| An estimator \f$\hat{q}\f$ of tail quantiles with level \f$\alpha\f$ based on order statistics |
| \f$X_{1:n} \leq X_{2:n} \leq\dots\leq X_{n:n}\f$ of weighted samples are given by \f$X_{\lambda:n}\f$ (left tail) |
| and \f$X_{\rho:n}\f$ (right tail), where |
| |
| \f[ |
| \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\} |
| \f] |
| |
| and |
| |
| \f[ |
| \rho = \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\}, |
| \f] |
| |
| \f$n\f$ being the number of samples and \f$\bar{w}_n\f$ the sum of all weights. |
| |
| @param quantile_probability |
| */ |
| template<typename Sample, typename Weight, typename LeftRight> |
| struct weighted_tail_quantile_impl |
| : accumulator_base |
| { |
| typedef typename numeric::functional::average<Weight, std::size_t>::result_type float_type; |
| // for boost::result_of |
| typedef Sample result_type; |
| |
| weighted_tail_quantile_impl(dont_care) {} |
| |
| template<typename Args> |
| result_type result(Args const &args) const |
| { |
| float_type threshold = sum_of_weights(args) |
| * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] ); |
| |
| std::size_t n = 0; |
| Weight sum = Weight(0); |
| |
| while (sum < threshold) |
| { |
| if (n < static_cast<std::size_t>(tail_weights(args).size())) |
| { |
| sum += *(tail_weights(args).begin() + n); |
| n++; |
| } |
| else |
| { |
| if (std::numeric_limits<result_type>::has_quiet_NaN) |
| { |
| return std::numeric_limits<result_type>::quiet_NaN(); |
| } |
| else |
| { |
| std::ostringstream msg; |
| msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")"; |
| boost::throw_exception(std::runtime_error(msg.str())); |
| return Sample(0); |
| } |
| } |
| } |
| |
| // Note that the cached samples of the left are sorted in ascending order, |
| // whereas the samples of the right tail are sorted in descending order |
| return *(boost::begin(tail(args)) + n - 1); |
| } |
| }; |
| } // namespace impl |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // tag::weighted_tail_quantile<> |
| // |
| namespace tag |
| { |
| template<typename LeftRight> |
| struct weighted_tail_quantile |
| : depends_on<sum_of_weights, tail_weights<LeftRight> > |
| { |
| /// INTERNAL ONLY |
| typedef accumulators::impl::weighted_tail_quantile_impl<mpl::_1, mpl::_2, LeftRight> impl; |
| }; |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // extract::weighted_tail_quantile |
| // |
| namespace extract |
| { |
| extractor<tag::quantile> const weighted_tail_quantile = {}; |
| |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_tail_quantile) |
| } |
| |
| using extract::weighted_tail_quantile; |
| |
| }} // namespace boost::accumulators |
| |
| #ifdef _MSC_VER |
| # pragma warning(pop) |
| #endif |
| |
| #endif |