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Diffstat (limited to 'boost/accumulators/statistics/pot_quantile.hpp')
| -rw-r--r-- | boost/accumulators/statistics/pot_quantile.hpp | 205 |
1 files changed, 205 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/pot_quantile.hpp b/boost/accumulators/statistics/pot_quantile.hpp new file mode 100644 index 0000000000..aceff8cee5 --- /dev/null +++ b/boost/accumulators/statistics/pot_quantile.hpp @@ -0,0 +1,205 @@ +/////////////////////////////////////////////////////////////////////////////// +// 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 <vector> +#include <limits> +#include <numeric> +#include <functional> +#include <boost/parameter/keyword.hpp> +#include <boost/tuple/tuple.hpp> +#include <boost/mpl/if.hpp> +#include <boost/type_traits/is_same.hpp> +#include <boost/mpl/placeholders.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/statistics_fwd.hpp> +#include <boost/accumulators/statistics/tail.hpp> +#include <boost/accumulators/statistics/peaks_over_threshold.hpp> +#include <boost/accumulators/statistics/weighted_peaks_over_threshold.hpp> + +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<typename Sample, typename Impl, typename LeftRight> + struct pot_quantile_impl + : accumulator_base + { + typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type; + // for boost::result_of + typedef float_type result_type; + + pot_quantile_impl(dont_care) + : sign_((is_same<LeftRight, left>::value) ? -1 : 1) + { + } + + template<typename Args> + result_type result(Args const &args) const + { + typedef + typename mpl::if_< + is_same<Impl, weighted> + , tag::weighted_peaks_over_threshold<LeftRight> + , tag::peaks_over_threshold<LeftRight> + >::type + peaks_over_threshold_tag; + + extractor<peaks_over_threshold_tag> 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<LeftRight, left>::value ? args[quantile_probability] : 1. - args[quantile_probability] + , -xi_hat + ) - 1.)); + } + + 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<typename LeftRight> + struct pot_quantile + : depends_on<peaks_over_threshold<LeftRight> > + { + /// INTERNAL ONLY + /// + typedef accumulators::impl::pot_quantile_impl<mpl::_1, unweighted, LeftRight> impl; + }; + template<typename LeftRight> + struct pot_quantile_prob + : depends_on<peaks_over_threshold_prob<LeftRight> > + { + /// INTERNAL ONLY + /// + typedef accumulators::impl::pot_quantile_impl<mpl::_1, unweighted, LeftRight> impl; + }; + template<typename LeftRight> + struct weighted_pot_quantile + : depends_on<weighted_peaks_over_threshold<LeftRight> > + { + /// INTERNAL ONLY + /// + typedef accumulators::impl::pot_quantile_impl<mpl::_1, weighted, LeftRight> impl; + }; + template<typename LeftRight> + struct weighted_pot_quantile_prob + : depends_on<weighted_peaks_over_threshold_prob<LeftRight> > + { + /// INTERNAL ONLY + /// + typedef accumulators::impl::pot_quantile_impl<mpl::_1, weighted, LeftRight> impl; + }; +} + +// pot_quantile<LeftRight>(with_threshold_value) -> pot_quantile<LeftRight> +template<typename LeftRight> +struct as_feature<tag::pot_quantile<LeftRight>(with_threshold_value)> +{ + typedef tag::pot_quantile<LeftRight> type; +}; + +// pot_quantile<LeftRight>(with_threshold_probability) -> pot_quantile_prob<LeftRight> +template<typename LeftRight> +struct as_feature<tag::pot_quantile<LeftRight>(with_threshold_probability)> +{ + typedef tag::pot_quantile_prob<LeftRight> type; +}; + +// weighted_pot_quantile<LeftRight>(with_threshold_value) -> weighted_pot_quantile<LeftRight> +template<typename LeftRight> +struct as_feature<tag::weighted_pot_quantile<LeftRight>(with_threshold_value)> +{ + typedef tag::weighted_pot_quantile<LeftRight> type; +}; + +// weighted_pot_quantile<LeftRight>(with_threshold_probability) -> weighted_pot_quantile_prob<LeftRight> +template<typename LeftRight> +struct as_feature<tag::weighted_pot_quantile<LeftRight>(with_threshold_probability)> +{ + typedef tag::weighted_pot_quantile_prob<LeftRight> type; +}; + +// for the purposes of feature-based dependency resolution, +// pot_quantile<LeftRight> and pot_quantile_prob<LeftRight> provide +// the same feature as quantile +template<typename LeftRight> +struct feature_of<tag::pot_quantile<LeftRight> > + : feature_of<tag::quantile> +{ +}; + +template<typename LeftRight> +struct feature_of<tag::pot_quantile_prob<LeftRight> > + : feature_of<tag::quantile> +{ +}; + +// So that pot_quantile can be automatically substituted +// with weighted_pot_quantile when the weight parameter is non-void. +template<typename LeftRight> +struct as_weighted_feature<tag::pot_quantile<LeftRight> > +{ + typedef tag::weighted_pot_quantile<LeftRight> type; +}; + +template<typename LeftRight> +struct feature_of<tag::weighted_pot_quantile<LeftRight> > + : feature_of<tag::pot_quantile<LeftRight> > +{ +}; + +// So that pot_quantile_prob can be automatically substituted +// with weighted_pot_quantile_prob when the weight parameter is non-void. +template<typename LeftRight> +struct as_weighted_feature<tag::pot_quantile_prob<LeftRight> > +{ + typedef tag::weighted_pot_quantile_prob<LeftRight> type; +}; + +template<typename LeftRight> +struct feature_of<tag::weighted_pot_quantile_prob<LeftRight> > + : feature_of<tag::pot_quantile_prob<LeftRight> > +{ +}; + +}} // namespace boost::accumulators + +#endif |