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Diffstat (limited to 'boost/accumulators/statistics/rolling_moment.hpp')
-rw-r--r-- | boost/accumulators/statistics/rolling_moment.hpp | 113 |
1 files changed, 113 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/rolling_moment.hpp b/boost/accumulators/statistics/rolling_moment.hpp new file mode 100644 index 0000000000..f172cee34f --- /dev/null +++ b/boost/accumulators/statistics/rolling_moment.hpp @@ -0,0 +1,113 @@ +/////////////////////////////////////////////////////////////////////////////// +// rolling_moment.hpp +// Copyright 2005 Eric Niebler. +// Copyright (C) 2014 Pieter Bastiaan Ober (Integricom). +// 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_ROLLING_MOMENT_HPP_EAN_27_11_2005 +#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005 + +#include <boost/config/no_tr1/cmath.hpp> +#include <boost/mpl/int.hpp> +#include <boost/mpl/assert.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/framework/depends_on.hpp> +#include <boost/accumulators/statistics_fwd.hpp> +#include <boost/accumulators/statistics/moment.hpp> +#include <boost/accumulators/statistics/rolling_count.hpp> + +namespace boost { namespace accumulators +{ +namespace impl +{ + /////////////////////////////////////////////////////////////////////////////// + // rolling_moment_impl + template<typename N, typename Sample> + struct rolling_moment_impl + : accumulator_base + { + BOOST_MPL_ASSERT_RELATION(N::value, >, 0); + // for boost::result_of + typedef typename numeric::functional::fdiv<Sample, std::size_t,void,void>::result_type result_type; + + template<typename Args> + rolling_moment_impl(Args const &args) + : sum_(args[sample | Sample()]) + { + } + + template<typename Args> + void operator ()(Args const &args) + { + if(is_rolling_window_plus1_full(args)) + { + this->sum_ -= numeric::pow(rolling_window_plus1(args).front(), N()); + } + this->sum_ += numeric::pow(args[sample], N()); + } + + template<typename Args> + result_type result(Args const &args) const + { + return numeric::fdiv(this->sum_, rolling_count(args)); + } + + private: + result_type sum_; + }; +} // namespace impl + +/////////////////////////////////////////////////////////////////////////////// +// tag::rolling_moment +// +namespace tag +{ + template<int N> + struct rolling_moment + : depends_on< rolling_window_plus1, rolling_count> + { + /// INTERNAL ONLY + /// + typedef accumulators::impl::rolling_moment_impl<mpl::int_<N>, mpl::_1> impl; + + #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED + /// tag::rolling_window::window_size named parameter + static boost::parameter::keyword<tag::rolling_window_size> const window_size; + #endif + }; +} + +/////////////////////////////////////////////////////////////////////////////// +// extract::rolling_moment +// +namespace extract +{ + BOOST_ACCUMULATORS_DEFINE_EXTRACTOR(tag, rolling_moment, (int)) +} + +using extract::rolling_moment; + +// There is no weighted_rolling_moment (yet)... +// +//// So that rolling_moment<N> can be automatically substituted with +//// weighted_rolling_moment<N> when the weight parameter is non-void +//template<int N> +//struct as_weighted_feature<tag::rolling_moment<N> > +//{ +// typedef tag::weighted_rolling_moment<N> type; +//}; +// +//template<int N> +//struct feature_of<tag::weighted_rolling_moment<N> > +// : feature_of<tag::rolling_moment<N> > +//{ +//}; +}} // namespace boost::accumulators + +#endif |