/usr/include/boost/accumulators/statistics
Edit: /usr/include/boost/accumulators/statistics/tail_variate_means.hpp (10463B)
///////////////////////////////////////////////////////////////////////////////
// tail_variate_means.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_VARIATE_MEANS_HPP_DE_01_01_2006
#define BOOST_ACCUMULATORS_STATISTICS_TAIL_VARIATE_MEANS_HPP_DE_01_01_2006
#include
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#ifdef _MSC_VER
# pragma warning(push)
# pragma warning(disable: 4127) // conditional expression is constant
#endif
namespace boost { namespace accumulators
{
namespace impl
{
/**
@brief Estimation of the absolute and relative tail variate means (for both left and right tails)
For all \f$j\f$-th variates associated to the \f$\lceil n(1-\alpha)\rceil\f$ largest samples (or the
\f$\lceil n(1-\alpha)\rceil\f$ smallest samples in case of the left tail), the absolute tail means
\f$\widehat{ATM}_{n,\alpha}(X, j)\f$ are computed and returned as an iterator range. Alternatively,
the relative tail means \f$\widehat{RTM}_{n,\alpha}(X, j)\f$ are returned, which are the absolute
tail means normalized with the (non-coherent) sample tail mean \f$\widehat{NCTM}_{n,\alpha}(X)\f$.
\f[
\widehat{ATM}_{n,\alpha}^{\mathrm{right}}(X, j) =
\frac{1}{\lceil n(1-\alpha) \rceil}
\sum_{i=\lceil \alpha n \rceil}^n \xi_{j,i}
\f]
\f[
\widehat{ATM}_{n,\alpha}^{\mathrm{left}}(X, j) =
\frac{1}{\lceil n\alpha \rceil}
\sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}
\f]
\f[
\widehat{RTM}_{n,\alpha}^{\mathrm{right}}(X, j) =
\frac{\sum_{i=\lceil n\alpha \rceil}^n \xi_{j,i}}
{\lceil n(1-\alpha)\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X)}
\f]
\f[
\widehat{RTM}_{n,\alpha}^{\mathrm{left}}(X, j) =
\frac{\sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}}
{\lceil n\alpha\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X)}
\f]
*/
///////////////////////////////////////////////////////////////////////////////
// tail_variate_means_impl
// by default: absolute tail_variate_means
template
struct tail_variate_means_impl
: accumulator_base
{
typedef typename numeric::functional::fdiv::result_type float_type;
typedef std::vector array_type;
// for boost::result_of
typedef iterator_range result_type;
tail_variate_means_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] )
)
);
std::size_t num_variates = tail_variate(args).begin()->size();
this->tail_means_.clear();
this->tail_means_.resize(num_variates, Sample(0));
// If n is in a valid range, return result, otherwise return NaN or throw exception
if (n < static_cast(tail(args).size()))
{
this->tail_means_ = std::accumulate(
tail_variate(args).begin()
, tail_variate(args).begin() + n
, this->tail_means_
, numeric::plus
);
float_type factor = n * ( (is_same::value) ? non_coherent_tail_mean(args) : 1. );
std::transform(
this->tail_means_.begin()
, this->tail_means_.end()
, this->tail_means_.begin()
#ifdef BOOST_NO_CXX98_BINDERS
, std::bind(std::divides(), std::placeholders::_1, factor)
#else
, std::bind2nd(std::divides(), factor)
#endif
);
}
else
{
if (std::numeric_limits::has_quiet_NaN)
{
std::fill(
this->tail_means_.begin()
, this->tail_means_.end()
, 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 make_iterator_range(this->tail_means_);
}
// make this accumulator serializeable
template
void serialize(Archive & ar, const unsigned int file_version)
{
ar & tail_means_;
}
private:
mutable array_type tail_means_;
};
} // namespace impl
///////////////////////////////////////////////////////////////////////////////
// tag::absolute_tail_variate_means
// tag::relative_tail_variate_means
//
namespace tag
{
template
struct absolute_tail_variate_means
: depends_on, tail_variate >
{
typedef accumulators::impl::tail_variate_means_impl impl;
};
template
struct relative_tail_variate_means
: depends_on, tail_variate >
{
typedef accumulators::impl::tail_variate_means_impl impl;
};
struct abstract_absolute_tail_variate_means
: depends_on<>
{
};
struct abstract_relative_tail_variate_means
: depends_on<>
{
};
}
///////////////////////////////////////////////////////////////////////////////
// extract::tail_variate_means
// extract::relative_tail_variate_means
//
namespace extract
{
extractor const tail_variate_means = {};
extractor const relative_tail_variate_means = {};
BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_variate_means)
BOOST_ACCUMULATORS_IGNORE_GLOBAL(relative_tail_variate_means)
}
using extract::tail_variate_means;
using extract::relative_tail_variate_means;
// tail_variate_means(absolute) -> absolute_tail_variate_means
template
struct as_feature(absolute)>
{
typedef tag::absolute_tail_variate_means type;
};
// tail_variate_means(relative) ->relative_tail_variate_means
template
struct as_feature(relative)>
{
typedef tag::relative_tail_variate_means type;
};
// Provides non-templatized extractor
template
struct feature_of >
: feature_of
{
};
// Provides non-templatized extractor
template
struct feature_of >
: feature_of
{
};
// So that absolute_tail_means can be automatically substituted
// with absolute_weighted_tail_means when the weight parameter is non-void.
template
struct as_weighted_feature >
{
typedef tag::absolute_weighted_tail_variate_means type;
};
template
struct feature_of >
: feature_of >
{
};
// So that relative_tail_means can be automatically substituted
// with relative_weighted_tail_means when the weight parameter is non-void.
template
struct as_weighted_feature >
{
typedef tag::relative_weighted_tail_variate_means type;
};
template
struct feature_of >
: feature_of >
{
};
}} // namespace boost::accumulators
#ifdef _MSC_VER
# pragma warning(pop)
#endif
#endif