| /////////////////////////////////////////////////////////////////////////////// |
| // weighted_kurtosis.hpp |
| // |
| // Copyright 2006 Olivier Gygi, Daniel Egloff. 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_KURTOSIS_HPP_EAN_28_10_2005 |
| #define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_KURTOSIS_HPP_EAN_28_10_2005 |
| |
| #include <limits> |
| #include <boost/mpl/placeholders.hpp> |
| #include <boost/accumulators/framework/accumulator_base.hpp> |
| #include <boost/accumulators/framework/extractor.hpp> |
| #include <boost/accumulators/framework/parameters/sample.hpp> |
| #include <boost/accumulators/numeric/functional.hpp> |
| #include <boost/accumulators/framework/depends_on.hpp> |
| #include <boost/accumulators/statistics_fwd.hpp> |
| #include <boost/accumulators/statistics/weighted_moment.hpp> |
| #include <boost/accumulators/statistics/weighted_mean.hpp> |
| |
| namespace boost { namespace accumulators |
| { |
| |
| namespace impl |
| { |
| /////////////////////////////////////////////////////////////////////////////// |
| // weighted_kurtosis_impl |
| /** |
| @brief Kurtosis estimation for weighted samples |
| |
| The kurtosis of a sample distribution is defined as the ratio of the 4th central moment and the square of the 2nd central |
| moment (the variance) of the samples, minus 3. The term \f$ -3 \f$ is added in order to ensure that the normal distribution |
| has zero kurtosis. The kurtosis can also be expressed by the simple moments: |
| |
| \f[ |
| \hat{g}_2 = |
| \frac |
| {\widehat{m}_n^{(4)}-4\widehat{m}_n^{(3)}\hat{\mu}_n+6\widehat{m}_n^{(2)}\hat{\mu}_n^2-3\hat{\mu}_n^4} |
| {\left(\widehat{m}_n^{(2)} - \hat{\mu}_n^{2}\right)^2} - 3, |
| \f] |
| |
| where \f$ \widehat{m}_n^{(i)} \f$ are the \f$ i \f$-th moment and \f$ \hat{\mu}_n \f$ the mean (first moment) of the |
| \f$ n \f$ samples. |
| |
| The kurtosis estimator for weighted samples is formally identical to the estimator for unweighted samples, except that |
| the weighted counterparts of all measures it depends on are to be taken. |
| */ |
| template<typename Sample, typename Weight> |
| struct weighted_kurtosis_impl |
| : accumulator_base |
| { |
| typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample; |
| // for boost::result_of |
| typedef typename numeric::functional::average<weighted_sample, weighted_sample>::result_type result_type; |
| |
| weighted_kurtosis_impl(dont_care) |
| { |
| } |
| |
| template<typename Args> |
| result_type result(Args const &args) const |
| { |
| return numeric::average( |
| accumulators::weighted_moment<4>(args) |
| - 4. * accumulators::weighted_moment<3>(args) * weighted_mean(args) |
| + 6. * accumulators::weighted_moment<2>(args) * weighted_mean(args) * weighted_mean(args) |
| - 3. * weighted_mean(args) * weighted_mean(args) * weighted_mean(args) * weighted_mean(args) |
| , ( accumulators::weighted_moment<2>(args) - weighted_mean(args) * weighted_mean(args) ) |
| * ( accumulators::weighted_moment<2>(args) - weighted_mean(args) * weighted_mean(args) ) |
| ) - 3.; |
| } |
| }; |
| |
| } // namespace impl |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // tag::weighted_kurtosis |
| // |
| namespace tag |
| { |
| struct weighted_kurtosis |
| : depends_on<weighted_mean, weighted_moment<2>, weighted_moment<3>, weighted_moment<4> > |
| { |
| /// INTERNAL ONLY |
| /// |
| typedef accumulators::impl::weighted_kurtosis_impl<mpl::_1, mpl::_2> impl; |
| }; |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // extract::weighted_kurtosis |
| // |
| namespace extract |
| { |
| extractor<tag::weighted_kurtosis> const weighted_kurtosis = {}; |
| |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_kurtosis) |
| } |
| |
| using extract::weighted_kurtosis; |
| |
| }} // namespace boost::accumulators |
| |
| #endif |