/////////////////////////////////////////////////////////////////////////////// | |
// 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 |