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/usr/include/boost/accumulators/statistics/

/usr/include/boost/accumulators/statistics

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

Edit: /usr/include/boost/accumulators/statistics/extended_p_square_quantile.hpp (12522B)

///////////////////////////////////////////////////////////////////////////////
// extended_p_square_quantile.hpp
//
//  Copyright 2005 Daniel Egloff. 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_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006
#define BOOST_ACCUMULATORS_STATISTICS_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006

#include <vector>
#include <functional>
#include <boost/throw_exception.hpp>
#include <boost/range/begin.hpp>
#include <boost/range/end.hpp>
#include <boost/range/iterator_range.hpp>
#include <boost/iterator/transform_iterator.hpp>
#include <boost/iterator/counting_iterator.hpp>
#include <boost/iterator/permutation_iterator.hpp>
#include <boost/parameter/keyword.hpp>
#include <boost/mpl/placeholders.hpp>
#include <boost/type_traits/is_same.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/framework/depends_on.hpp>
#include <boost/accumulators/statistics_fwd.hpp>
#include <boost/accumulators/statistics/count.hpp>
#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
#include <boost/accumulators/statistics/extended_p_square.hpp>
#include <boost/accumulators/statistics/weighted_extended_p_square.hpp>
#include <boost/accumulators/statistics/times2_iterator.hpp>

#ifdef _MSC_VER
# pragma warning(push)
# pragma warning(disable: 4127) // conditional expression is constant
#endif

namespace boost { namespace accumulators
{

namespace impl
{
    ///////////////////////////////////////////////////////////////////////////////
    // extended_p_square_quantile_impl
    //  single quantile estimation
    /**
        @brief Quantile estimation using the extended \f$P^2\f$ algorithm for weighted and unweighted samples

Uses the quantile estimates calculated by the extended \f$P^2\f$ algorithm to compute
        intermediate quantile estimates by means of quadratic interpolation.

@param quantile_probability The probability of the quantile to be estimated.
    */
    template<typename Sample, typename Impl1, typename Impl2> // Impl1: weighted/unweighted // Impl2: linear/quadratic
    struct extended_p_square_quantile_impl
      : accumulator_base
    {
        typedef typename numeric::functional::fdiv<Sample, std::size_t>::result_type float_type;
        typedef std::vector<float_type> array_type;
        typedef iterator_range<
            detail::lvalue_index_iterator<
                permutation_iterator<
                    typename array_type::const_iterator
                  , detail::times2_iterator
                >
            >
        > range_type;
        // for boost::result_of
        typedef float_type result_type;

template<typename Args>
        extended_p_square_quantile_impl(Args const &args)
          : probabilities(
                boost::begin(args[extended_p_square_probabilities])
              , boost::end(args[extended_p_square_probabilities])
            )
        {
        }

template<typename Args>
        result_type result(Args const &args) const
        {
            typedef
                typename mpl::if_<
                    is_same<Impl1, weighted>
                  , tag::weighted_extended_p_square
                  , tag::extended_p_square
                >::type
            extended_p_square_tag;

extractor<extended_p_square_tag> const some_extended_p_square = {};

array_type heights(some_extended_p_square(args).size());
            std::copy(some_extended_p_square(args).begin(), some_extended_p_square(args).end(), heights.begin());

this->probability = args[quantile_probability];

typename array_type::const_iterator iter_probs = std::lower_bound(this->probabilities.begin(), this->probabilities.end(), this->probability);
            std::size_t dist = std::distance(this->probabilities.begin(), iter_probs);
            typename array_type::const_iterator iter_heights = heights.begin() + dist;

// If this->probability is not in a valid range return NaN or throw exception
            if (this->probability < *this->probabilities.begin() || this->probability > *(this->probabilities.end() - 1))
            {
                if (std::numeric_limits<result_type>::has_quiet_NaN)
                {
                    return std::numeric_limits<result_type>::quiet_NaN();
                }
                else
                {
                    std::ostringstream msg;
                    msg << "probability = " << this->probability << " is not in valid range (";
                    msg << *this->probabilities.begin() << ", " << *(this->probabilities.end() - 1) << ")";
                    boost::throw_exception(std::runtime_error(msg.str()));
                    return Sample(0);
                }

}

if (*iter_probs == this->probability)
            {
                return heights[dist];
            }
            else
            {
                result_type res;

if (is_same<Impl2, linear>::value)
                {
                    /////////////////////////////////////////////////////////////////////////////////
                    // LINEAR INTERPOLATION
                    //
                    float_type p1 = *iter_probs;
                    float_type p0 = *(iter_probs - 1);
                    float_type h1 = *iter_heights;
                    float_type h0 = *(iter_heights - 1);

float_type a = numeric::fdiv(h1 - h0, p1 - p0);
                    float_type b = h1 - p1 * a;

res = a * this->probability + b;
                }
                else
                {
                    /////////////////////////////////////////////////////////////////////////////////
                    // QUADRATIC INTERPOLATION
                    //
                    float_type p0, p1, p2;
                    float_type h0, h1, h2;

if ( (dist == 1 || *iter_probs - this->probability <= this->probability - *(iter_probs - 1) ) && dist != this->probabilities.size() - 1 )
                    {
                        p0 = *(iter_probs - 1);
                        p1 = *iter_probs;
                        p2 = *(iter_probs + 1);
                        h0 = *(iter_heights - 1);
                        h1 = *iter_heights;
                        h2 = *(iter_heights + 1);
                    }
                    else
                    {
                        p0 = *(iter_probs - 2);
                        p1 = *(iter_probs - 1);
                        p2 = *iter_probs;
                        h0 = *(iter_heights - 2);
                        h1 = *(iter_heights - 1);
                        h2 = *iter_heights;
                    }

float_type hp21 = numeric::fdiv(h2 - h1, p2 - p1);
                    float_type hp10 = numeric::fdiv(h1 - h0, p1 - p0);
                    float_type p21  = numeric::fdiv(p2 * p2 - p1 * p1, p2 - p1);
                    float_type p10  = numeric::fdiv(p1 * p1 - p0 * p0, p1 - p0);

float_type a = numeric::fdiv(hp21 - hp10, p21 - p10);
                    float_type b = hp21 - a * p21;
                    float_type c = h2 - a * p2 * p2 - b * p2;

res = a * this->probability * this-> probability + b * this->probability + c;
                }

return res;
            }

}

public:
        // make this accumulator serializeable
        // TODO: do we need to split to load/save and verify that the parameters did not change?
        template<class Archive>
        void serialize(Archive & ar, const unsigned int file_version)
        { 
            ar & probabilities;
            ar & probability;
        }

private:

array_type probabilities;
        mutable float_type probability;

};

} // namespace impl

///////////////////////////////////////////////////////////////////////////////
// tag::extended_p_square_quantile
//
namespace tag
{
    struct extended_p_square_quantile
      : depends_on<extended_p_square>
    {
        typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, linear> impl;
    };
    struct extended_p_square_quantile_quadratic
      : depends_on<extended_p_square>
    {
        typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, quadratic> impl;
    };
    struct weighted_extended_p_square_quantile
      : depends_on<weighted_extended_p_square>
    {
        typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, linear> impl;
    };
    struct weighted_extended_p_square_quantile_quadratic
      : depends_on<weighted_extended_p_square>
    {
        typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, quadratic> impl;
    };
}

///////////////////////////////////////////////////////////////////////////////
// extract::extended_p_square_quantile
// extract::weighted_extended_p_square_quantile
//
namespace extract
{
    extractor<tag::extended_p_square_quantile> const extended_p_square_quantile = {};
    extractor<tag::extended_p_square_quantile_quadratic> const extended_p_square_quantile_quadratic = {};
    extractor<tag::weighted_extended_p_square_quantile> const weighted_extended_p_square_quantile = {};
    extractor<tag::weighted_extended_p_square_quantile_quadratic> const weighted_extended_p_square_quantile_quadratic = {};

BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile)
    BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile_quadratic)
    BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile)
    BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile_quadratic)
}

using extract::extended_p_square_quantile;
using extract::extended_p_square_quantile_quadratic;
using extract::weighted_extended_p_square_quantile;
using extract::weighted_extended_p_square_quantile_quadratic;

// extended_p_square_quantile(linear) -> extended_p_square_quantile
template<>
struct as_feature<tag::extended_p_square_quantile(linear)>
{
    typedef tag::extended_p_square_quantile type;
};

// extended_p_square_quantile(quadratic) -> extended_p_square_quantile_quadratic
template<>
struct as_feature<tag::extended_p_square_quantile(quadratic)>
{
    typedef tag::extended_p_square_quantile_quadratic type;
};

// weighted_extended_p_square_quantile(linear) -> weighted_extended_p_square_quantile
template<>
struct as_feature<tag::weighted_extended_p_square_quantile(linear)>
{
    typedef tag::weighted_extended_p_square_quantile type;
};

// weighted_extended_p_square_quantile(quadratic) -> weighted_extended_p_square_quantile_quadratic
template<>
struct as_feature<tag::weighted_extended_p_square_quantile(quadratic)>
{
    typedef tag::weighted_extended_p_square_quantile_quadratic type;
};

// for the purposes of feature-based dependency resolution,
// extended_p_square_quantile and weighted_extended_p_square_quantile
// provide the same feature as quantile
template<>
struct feature_of<tag::extended_p_square_quantile>
  : feature_of<tag::quantile>
{
};
template<>
struct feature_of<tag::extended_p_square_quantile_quadratic>
  : feature_of<tag::quantile>
{
};
// So that extended_p_square_quantile can be automatically substituted with
// weighted_extended_p_square_quantile when the weight parameter is non-void
template<>
struct as_weighted_feature<tag::extended_p_square_quantile>
{
    typedef tag::weighted_extended_p_square_quantile type;
};

template<>
struct feature_of<tag::weighted_extended_p_square_quantile>
  : feature_of<tag::extended_p_square_quantile>
{
};

// So that extended_p_square_quantile_quadratic can be automatically substituted with
// weighted_extended_p_square_quantile_quadratic when the weight parameter is non-void
template<>
struct as_weighted_feature<tag::extended_p_square_quantile_quadratic>
{
    typedef tag::weighted_extended_p_square_quantile_quadratic type;
};
template<>
struct feature_of<tag::weighted_extended_p_square_quantile_quadratic>
  : feature_of<tag::extended_p_square_quantile_quadratic>
{
};

}} // namespace boost::accumulators

#ifdef _MSC_VER
# pragma warning(pop)
#endif

#endif

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