Name	Size	Mode	Actions
parameters/	-	0755	rm
variates/	-	0755	rm
count.hpp	2013	0644	editdlrm
covariance.hpp	7137	0644	editdlrm
density.hpp	10007	0644	editdlrm
error_of.hpp	2588	0644	editdlrm
error_of_mean.hpp	2193	0644	editdlrm
extended_p_square.hpp	11633	0644	editdlrm
extended_p_square_quantile.hpp	12522	0644	editdlrm
kurtosis.hpp	3864	0644	editdlrm
max.hpp	2294	0644	editdlrm
mean.hpp	9334	0644	editdlrm
median.hpp	10242	0644	editdlrm
min.hpp	2294	0644	editdlrm
moment.hpp	3436	0644	editdlrm
peaks_over_threshold.hpp	17525	0644	editdlrm
pot_quantile.hpp	7336	0644	editdlrm
pot_tail_mean.hpp	7802	0644	editdlrm
p_square_cumulative_distribution.hpp	955	0644	editdlrm
p_square_cumul_dist.hpp	10365	0644	editdlrm
p_square_quantile.hpp	10086	0644	editdlrm
rolling_count.hpp	2574	0644	editdlrm
rolling_mean.hpp	6753	0644	editdlrm
rolling_moment.hpp	3741	0644	editdlrm
rolling_sum.hpp	2871	0644	editdlrm
rolling_variance.hpp	9486	0644	editdlrm
rolling_window.hpp	7254	0644	editdlrm
skewness.hpp	3691	0644	editdlrm
stats.hpp	972	0644	editdlrm
sum.hpp	3884	0644	editdlrm
sum_kahan.hpp	5104	0644	editdlrm
tail.hpp	11012	0644	editdlrm
tail_mean.hpp	9158	0644	editdlrm
tail_quantile.hpp	5535	0644	editdlrm
tail_variate.hpp	4504	0644	editdlrm
tail_variate_means.hpp	10463	0644	editdlrm
times2_iterator.hpp	1965	0644	editdlrm
variance.hpp	7522	0644	editdlrm
weighted_covariance.hpp	5244	0644	editdlrm
weighted_density.hpp	9518	0644	editdlrm
weighted_extended_p_square.hpp	12842	0644	editdlrm
weighted_kurtosis.hpp	4147	0644	editdlrm
weighted_mean.hpp	6637	0644	editdlrm
weighted_median.hpp	8667	0644	editdlrm
weighted_moment.hpp	3384	0644	editdlrm
weighted_peaks_over_threshold.hpp	12352	0644	editdlrm
weighted_p_square_cumulative_distribution.hpp	1009	0644	editdlrm
weighted_p_square_cumul_dist.hpp	11058	0644	editdlrm
weighted_p_square_quantile.hpp	11110	0644	editdlrm
weighted_skewness.hpp	3844	0644	editdlrm
weighted_sum.hpp	3639	0644	editdlrm
weighted_sum_kahan.hpp	4559	0644	editdlrm
weighted_tail_mean.hpp	5788	0644	editdlrm
weighted_tail_quantile.hpp	5135	0644	editdlrm
weighted_tail_variate_means.hpp	10052	0644	editdlrm
weighted_variance.hpp	6774	0644	editdlrm
with_error.hpp	1277	0644	editdlrm

/////////////////////////////////////////////////////////////////////////////// // pot_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_POT_QUANTILE_HPP_DE_01_01_2006 #define BOOST_ACCUMULATORS_STATISTICS_POT_QUANTILE_HPP_DE_01_01_2006 #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include namespace boost { namespace accumulators { namespace impl { /////////////////////////////////////////////////////////////////////////////// // pot_quantile_impl // /** @brief Quantile Estimation based on Peaks over Threshold Method (for both left and right tails) Computes an estimate \f[ \hat{q}_{\alpha} = \bar{u} + \frac{\bar{\beta}}{\xi}\left[(1-\alpha)^{-\xi}-1\right] \f] for a right or left extreme quantile, \f$\bar[u]\f$, \f$\bar{\beta}\f$ and \f$\xi\f$ being the parameters of the generalized Pareto distribution that approximates the right tail of the distribution (or the mirrored left tail, in case the left tail is used). In the latter case, the result is mirrored back, yielding the correct result. */ template struct pot_quantile_impl : accumulator_base { typedef typename numeric::functional::fdiv::result_type float_type; // for boost::result_of typedef float_type result_type; pot_quantile_impl(dont_care) : sign_((is_same::value) ? -1 : 1) { } template result_type result(Args const &args) const { typedef typename mpl::if_< is_same , tag::weighted_peaks_over_threshold , tag::peaks_over_threshold >::type peaks_over_threshold_tag; extractor const some_peaks_over_threshold = {}; float_type u_bar = some_peaks_over_threshold(args).template get<0>(); float_type beta_bar = some_peaks_over_threshold(args).template get<1>(); float_type xi_hat = some_peaks_over_threshold(args).template get<2>(); return this->sign_ * (u_bar + beta_bar/xi_hat * ( std::pow( is_same::value ? args[quantile_probability] : 1. - args[quantile_probability] , -xi_hat ) - 1.)); } // make this accumulator serializeable template void serialize(Archive & ar, const unsigned int file_version) { ar & sign_; } private: short sign_; // if the fit parameters from the mirrored left tail extreme values are used, mirror back the result }; } // namespace impl /////////////////////////////////////////////////////////////////////////////// // tag::pot_quantile<> // tag::pot_quantile_prob<> // tag::weighted_pot_quantile<> // tag::weighted_pot_quantile_prob<> // namespace tag { template struct pot_quantile : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct pot_quantile_prob : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct weighted_pot_quantile : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct weighted_pot_quantile_prob : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; } // pot_quantile(with_threshold_value) -> pot_quantile template struct as_feature(with_threshold_value)> { typedef tag::pot_quantile type; }; // pot_quantile(with_threshold_probability) -> pot_quantile_prob template struct as_feature(with_threshold_probability)> { typedef tag::pot_quantile_prob type; }; // weighted_pot_quantile(with_threshold_value) -> weighted_pot_quantile template struct as_feature(with_threshold_value)> { typedef tag::weighted_pot_quantile type; }; // weighted_pot_quantile(with_threshold_probability) -> weighted_pot_quantile_prob template struct as_feature(with_threshold_probability)> { typedef tag::weighted_pot_quantile_prob type; }; // for the purposes of feature-based dependency resolution, // pot_quantile and pot_quantile_prob provide // the same feature as quantile template struct feature_of > : feature_of { }; template struct feature_of > : feature_of { }; // So that pot_quantile can be automatically substituted // with weighted_pot_quantile when the weight parameter is non-void. template struct as_weighted_feature > { typedef tag::weighted_pot_quantile type; }; template struct feature_of > : feature_of > { }; // So that pot_quantile_prob can be automatically substituted // with weighted_pot_quantile_prob when the weight parameter is non-void. template struct as_weighted_feature > { typedef tag::weighted_pot_quantile_prob type; }; template struct feature_of > : feature_of > { }; }} // namespace boost::accumulators #endif