| /////////////////////////////////////////////////////////////////////////////// |
| // 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_TAIL_QUANTILE_HPP_DE_01_01_2006 |
| #define BOOST_ACCUMULATORS_STATISTICS_TAIL_QUANTILE_HPP_DE_01_01_2006 |
| |
| #include <vector> |
| #include <limits> |
| #include <functional> |
| #include <sstream> |
| #include <stdexcept> |
| #include <boost/config/no_tr1/cmath.hpp> // For ceil |
| #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/framework/depends_on.hpp> |
| #include <boost/accumulators/framework/accumulator_base.hpp> |
| #include <boost/accumulators/framework/extractor.hpp> |
| #include <boost/accumulators/numeric/functional.hpp> |
| #include <boost/accumulators/framework/parameters/sample.hpp> |
| #include <boost/accumulators/statistics_fwd.hpp> |
| #include <boost/accumulators/statistics/tail.hpp> |
| #include <boost/accumulators/statistics/count.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 |
| { |
| /////////////////////////////////////////////////////////////////////////////// |
| // tail_quantile_impl |
| // Tail quantile estimation based on order statistics |
| /** |
| @brief Tail quantile estimation based on order statistics (for both left and right tails) |
| |
| The estimation of a tail quantile \f$\hat{q}\f$ with level \f$\alpha\f$ based on order statistics requires the |
| chaching of at least the \f$\lceil n\alpha\rceil\f$ smallest or the \f$\lceil n(1-\alpha)\rceil\f$ largest samples, |
| \f$n\f$ being the total number of samples. The largest of the \f$\lceil n\alpha\rceil\f$ smallest samples or the |
| smallest of the \f$\lceil n(1-\alpha)\rceil\f$ largest samples provides an estimate for the quantile: |
| |
| \f[ |
| \hat{q}_{n,\alpha} = X_{\lceil \alpha n \rceil:n} |
| \f] |
| |
| @param quantile_probability |
| */ |
| template<typename Sample, typename LeftRight> |
| struct tail_quantile_impl |
| : accumulator_base |
| { |
| // for boost::result_of |
| typedef Sample result_type; |
| |
| tail_quantile_impl(dont_care) {} |
| |
| template<typename Args> |
| result_type result(Args const &args) const |
| { |
| std::size_t cnt = count(args); |
| |
| std::size_t n = static_cast<std::size_t>( |
| std::ceil( |
| cnt * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] ) |
| ) |
| ); |
| |
| // If n is in a valid range, return result, otherwise return NaN or throw exception |
| if ( n < static_cast<std::size_t>(tail(args).size())) |
| { |
| // 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); |
| } |
| 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); |
| } |
| } |
| } |
| }; |
| } // namespace impl |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // tag::tail_quantile<> |
| // |
| namespace tag |
| { |
| template<typename LeftRight> |
| struct tail_quantile |
| : depends_on<count, tail<LeftRight> > |
| { |
| /// INTERNAL ONLY |
| /// |
| typedef accumulators::impl::tail_quantile_impl<mpl::_1, LeftRight> impl; |
| }; |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // extract::tail_quantile |
| // |
| namespace extract |
| { |
| extractor<tag::quantile> const tail_quantile = {}; |
| |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_quantile) |
| } |
| |
| using extract::tail_quantile; |
| |
| // for the purposes of feature-based dependency resolution, |
| // tail_quantile<LeftRight> provide the same feature as quantile |
| template<typename LeftRight> |
| struct feature_of<tag::tail_quantile<LeftRight> > |
| : feature_of<tag::quantile> |
| { |
| }; |
| |
| // So that tail_quantile can be automatically substituted with |
| // weighted_tail_quantile when the weight parameter is non-void. |
| template<typename LeftRight> |
| struct as_weighted_feature<tag::tail_quantile<LeftRight> > |
| { |
| typedef tag::weighted_tail_quantile<LeftRight> type; |
| }; |
| |
| template<typename LeftRight> |
| struct feature_of<tag::weighted_tail_quantile<LeftRight> > |
| : feature_of<tag::tail_quantile<LeftRight> > |
| {}; |
| |
| }} // namespace boost::accumulators |
| |
| #ifdef _MSC_VER |
| # pragma warning(pop) |
| #endif |
| |
| #endif |