/usr/include/boost/accumulators/statistics
Edit: /usr/include/boost/accumulators/statistics/tail_quantile.hpp (5535B)
///////////////////////////////////////////////////////////////////////////////
// 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
#include
#include
#include
#include
#include // For ceil
#include
#include
#include
#include
#include
#include
#include
#include
#include
#include
#include
#include
#include
#include
#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
caching 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
struct tail_quantile_impl
: accumulator_base
{
// for boost::result_of
typedef Sample result_type;
tail_quantile_impl(dont_care) {}
template
result_type result(Args const &args) const
{
std::size_t cnt = count(args);
std::size_t n = static_cast(
std::ceil(
cnt * ( ( is_same::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(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::has_quiet_NaN)
{
return std::numeric_limits::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);
}
}
}
// serialization is done by accumulators it depends on
template
void serialize(Archive & ar, const unsigned int file_version) {}
};
} // namespace impl
///////////////////////////////////////////////////////////////////////////////
// tag::tail_quantile<>
//
namespace tag
{
template
struct tail_quantile
: depends_on >
{
/// INTERNAL ONLY
///
typedef accumulators::impl::tail_quantile_impl impl;
};
}
///////////////////////////////////////////////////////////////////////////////
// extract::tail_quantile
//
namespace extract
{
extractor const tail_quantile = {};
BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_quantile)
}
using extract::tail_quantile;
// for the purposes of feature-based dependency resolution,
// tail_quantile provide the same feature as quantile
template
struct feature_of >
: feature_of
{
};
// So that tail_quantile can be automatically substituted with
// weighted_tail_quantile when the weight parameter is non-void.
template
struct as_weighted_feature >
{
typedef tag::weighted_tail_quantile type;
};
template
struct feature_of >
: feature_of >
{};
}} // namespace boost::accumulators
#ifdef _MSC_VER
# pragma warning(pop)
#endif
#endif