1 files changed, 158 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/tail_quantile.hpp b/boost/accumulators/statistics/tail_quantile.hpp
new file mode 100644
index 0000000000..d3b96b4968
--- /dev/null
+++ b/boost/accumulators/statistics/tail_quantile.hpp
@@ -0,0 +1,158 @@
+///////////////////////////////////////////////////////////////////////////////
+// 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 <vector>
+#include <limits>
+#include <functional>
+#include <sstream>
+#include <stdexcept>
+#include <boost/config/no_tr1/cmath.hpp>             // For ceil
+#include <boost/throw_exception.hpp>
+#include <boost/parameter/keyword.hpp>
+#include <boost/mpl/placeholders.hpp>
+#include <boost/mpl/if.hpp>
+#include <boost/type_traits/is_same.hpp>
+#include <boost/accumulators/framework/depends_on.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/count.hpp>
+#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
+
+#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
+        chaching 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<typename Sample, typename LeftRight>
+    struct tail_quantile_impl
+      : accumulator_base
+    {
+        // for boost::result_of
+        typedef Sample result_type;
+
+        tail_quantile_impl(dont_care) {}
+
+        template<typename Args>
+        result_type result(Args const &args) const
+        {
+            std::size_t cnt = count(args);
+
+            std::size_t n = static_cast<std::size_t>(
+                std::ceil(
+                    cnt * ( ( is_same<LeftRight, left>::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<std::size_t>(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<result_type>::has_quiet_NaN)
+                {
+                    return std::numeric_limits<result_type>::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);
+                }
+            }
+        }
+    };
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::tail_quantile<>
+//
+namespace tag
+{
+    template<typename LeftRight>
+    struct tail_quantile
+      : depends_on<count, tail<LeftRight> >
+    {
+        /// INTERNAL ONLY
+        ///
+        typedef accumulators::impl::tail_quantile_impl<mpl::_1, LeftRight> impl;
+    };
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::tail_quantile
+//
+namespace extract
+{
+    extractor<tag::quantile> const tail_quantile = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_quantile)
+}
+
+using extract::tail_quantile;
+
+// for the purposes of feature-based dependency resolution,
+// tail_quantile<LeftRight> provide the same feature as quantile
+template<typename LeftRight>
+struct feature_of<tag::tail_quantile<LeftRight> >
+  : feature_of<tag::quantile>
+{
+};
+
+// So that tail_quantile can be automatically substituted with
+// weighted_tail_quantile when the weight parameter is non-void.
+template<typename LeftRight>
+struct as_weighted_feature<tag::tail_quantile<LeftRight> >
+{
+    typedef tag::weighted_tail_quantile<LeftRight> type;
+};
+
+template<typename LeftRight>
+struct feature_of<tag::weighted_tail_quantile<LeftRight> >
+  : feature_of<tag::tail_quantile<LeftRight> >
+{};
+
+}} // namespace boost::accumulators
+
+#ifdef _MSC_VER
+# pragma warning(pop)
+#endif
+
+#endif