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