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