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Diffstat (limited to 'boost/accumulators/statistics/weighted_covariance.hpp')
-rw-r--r-- | boost/accumulators/statistics/weighted_covariance.hpp | 133 |
1 files changed, 133 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/weighted_covariance.hpp b/boost/accumulators/statistics/weighted_covariance.hpp new file mode 100644 index 0000000000..83585b1b65 --- /dev/null +++ b/boost/accumulators/statistics/weighted_covariance.hpp @@ -0,0 +1,133 @@ +/////////////////////////////////////////////////////////////////////////////// +// weighted_covariance.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_WEIGHTED_COVARIANCE_HPP_DE_01_01_2006 +#define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_COVARIANCE_HPP_DE_01_01_2006 + +#include <vector> +#include <limits> +#include <numeric> +#include <functional> +#include <complex> +#include <boost/mpl/assert.hpp> +#include <boost/mpl/bool.hpp> +#include <boost/range.hpp> +#include <boost/parameter/keyword.hpp> +#include <boost/mpl/placeholders.hpp> +#include <boost/numeric/ublas/io.hpp> +#include <boost/numeric/ublas/matrix.hpp> +#include <boost/type_traits/is_scalar.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/statistics_fwd.hpp> +#include <boost/accumulators/statistics/count.hpp> +#include <boost/accumulators/statistics/covariance.hpp> // for numeric::outer_product() and type traits +#include <boost/accumulators/statistics/weighted_mean.hpp> + +namespace boost { namespace accumulators +{ + +namespace impl +{ + /////////////////////////////////////////////////////////////////////////////// + // weighted_covariance_impl + // + /** + @brief Weighted Covariance Estimator + + An iterative Monte Carlo estimator for the weighted covariance \f$\mathrm{Cov}(X,X')\f$, where \f$X\f$ is a sample + and \f$X'\f$ a variate, is given by: + + \f[ + \hat{c}_n = \frac{\bar{w}_n-w_n}{\bar{w}_n} \hat{c}_{n-1} + \frac{w_n}{\bar{w}_n-w_n}(X_n - \hat{\mu}_n)(X_n' - \hat{\mu}_n'), + \quad n\ge2,\quad\hat{c}_1 = 0, + \f] + + \f$\hat{\mu}_n\f$ and \f$\hat{\mu}_n'\f$ being the weighted means of the samples and variates and + \f$\bar{w}_n\f$ the sum of the \f$n\f$ first weights \f$w_i\f$. + */ + template<typename Sample, typename Weight, typename VariateType, typename VariateTag> + struct weighted_covariance_impl + : accumulator_base + { + typedef typename numeric::functional::multiplies<Weight, typename numeric::functional::average<Sample, std::size_t>::result_type>::result_type weighted_sample_type; + typedef typename numeric::functional::multiplies<Weight, typename numeric::functional::average<VariateType, std::size_t>::result_type>::result_type weighted_variate_type; + // for boost::result_of + typedef typename numeric::functional::outer_product<weighted_sample_type, weighted_variate_type>::result_type result_type; + + template<typename Args> + weighted_covariance_impl(Args const &args) + : cov_( + numeric::outer_product( + numeric::average(args[sample | Sample()], (std::size_t)1) + * numeric::one<Weight>::value + , numeric::average(args[parameter::keyword<VariateTag>::get() | VariateType()], (std::size_t)1) + * numeric::one<Weight>::value + ) + ) + { + } + + template<typename Args> + void operator ()(Args const &args) + { + std::size_t cnt = count(args); + + if (cnt > 1) + { + extractor<tag::weighted_mean_of_variates<VariateType, VariateTag> > const some_weighted_mean_of_variates = {}; + + this->cov_ = this->cov_ * (sum_of_weights(args) - args[weight]) / sum_of_weights(args) + + numeric::outer_product( + some_weighted_mean_of_variates(args) - args[parameter::keyword<VariateTag>::get()] + , weighted_mean(args) - args[sample] + ) * args[weight] / (sum_of_weights(args) - args[weight]); + } + } + + result_type result(dont_care) const + { + return this->cov_; + } + + private: + result_type cov_; + }; + +} // namespace impl + +/////////////////////////////////////////////////////////////////////////////// +// tag::weighted_covariance +// +namespace tag +{ + template<typename VariateType, typename VariateTag> + struct weighted_covariance + : depends_on<count, sum_of_weights, weighted_mean, weighted_mean_of_variates<VariateType, VariateTag> > + { + typedef accumulators::impl::weighted_covariance_impl<mpl::_1, mpl::_2, VariateType, VariateTag> impl; + }; +} + +/////////////////////////////////////////////////////////////////////////////// +// extract::weighted_covariance +// +namespace extract +{ + extractor<tag::abstract_covariance> const weighted_covariance = {}; + + BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_covariance) +} + +using extract::weighted_covariance; + +}} // namespace boost::accumulators + +#endif |