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Diffstat (limited to 'boost/accumulators/statistics/weighted_tail_mean.hpp')
| -rw-r--r-- | boost/accumulators/statistics/weighted_tail_mean.hpp | 169 |
1 files changed, 169 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/weighted_tail_mean.hpp b/boost/accumulators/statistics/weighted_tail_mean.hpp new file mode 100644 index 0000000000..5bdee8aadc --- /dev/null +++ b/boost/accumulators/statistics/weighted_tail_mean.hpp @@ -0,0 +1,169 @@ +/////////////////////////////////////////////////////////////////////////////// +// weighted_tail_mean.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_TAIL_MEAN_HPP_DE_01_01_2006 +#define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_MEAN_HPP_DE_01_01_2006 + +#include <numeric> +#include <vector> +#include <limits> +#include <functional> +#include <sstream> +#include <stdexcept> +#include <boost/throw_exception.hpp> +#include <boost/parameter/keyword.hpp> +#include <boost/mpl/placeholders.hpp> +#include <boost/type_traits/is_same.hpp> +#include <boost/accumulators/numeric/functional.hpp> +#include <boost/accumulators/framework/accumulator_base.hpp> +#include <boost/accumulators/framework/extractor.hpp> +#include <boost/accumulators/framework/parameters/sample.hpp> +#include <boost/accumulators/statistics_fwd.hpp> +#include <boost/accumulators/statistics/tail.hpp> +#include <boost/accumulators/statistics/tail_mean.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 +{ + + /////////////////////////////////////////////////////////////////////////////// + // coherent_weighted_tail_mean_impl + // + // TODO + + /////////////////////////////////////////////////////////////////////////////// + // non_coherent_weighted_tail_mean_impl + // + /** + @brief Estimation of the (non-coherent) weighted tail mean based on order statistics (for both left and right tails) + + + + An estimation of the non-coherent, weighted tail mean \f$\widehat{NCTM}_{n,\alpha}(X)\f$ is given by the weighted mean + of the + + \f[ + \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\} + \f] + + smallest samples (left tail) or the weighted mean of the + + \f[ + n + 1 - \rho = n + 1 - \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\} + \f] + + largest samples (right tail) above a quantile \f$\hat{q}_{\alpha}\f$ of level \f$\alpha\f$, \f$n\f$ being the total number of sample + and \f$\bar{w}_n\f$ the sum of all \f$n\f$ weights: + + \f[ + \widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X) = \frac{\sum_{i=1}^{\lambda} w_i X_{i:n}}{\sum_{i=1}^{\lambda} w_i}, + \f] + + \f[ + \widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X) = \frac{\sum_{i=\rho}^n w_i X_{i:n}}{\sum_{i=\rho}^n w_i}. + \f] + + @param quantile_probability + */ + template<typename Sample, typename Weight, typename LeftRight> + struct non_coherent_weighted_tail_mean_impl + : accumulator_base + { + typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample; + typedef typename numeric::functional::average<Weight, std::size_t>::result_type float_type; + // for boost::result_of + typedef typename numeric::functional::average<weighted_sample, std::size_t>::result_type result_type; + + non_coherent_weighted_tail_mean_impl(dont_care) {} + + template<typename Args> + result_type result(Args const &args) const + { + float_type threshold = sum_of_weights(args) + * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] ); + + std::size_t n = 0; + Weight sum = Weight(0); + + while (sum < threshold) + { + if (n < static_cast<std::size_t>(tail_weights(args).size())) + { + sum += *(tail_weights(args).begin() + n); + n++; + } + 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 result_type(0); + } + } + } + + return numeric::average( + std::inner_product( + tail(args).begin() + , tail(args).begin() + n + , tail_weights(args).begin() + , weighted_sample(0) + ) + , sum + ); + } + }; + +} // namespace impl + + +/////////////////////////////////////////////////////////////////////////////// +// tag::non_coherent_weighted_tail_mean<> +// +namespace tag +{ + template<typename LeftRight> + struct non_coherent_weighted_tail_mean + : depends_on<sum_of_weights, tail_weights<LeftRight> > + { + typedef accumulators::impl::non_coherent_weighted_tail_mean_impl<mpl::_1, mpl::_2, LeftRight> impl; + }; +} + +/////////////////////////////////////////////////////////////////////////////// +// extract::non_coherent_weighted_tail_mean; +// +namespace extract +{ + extractor<tag::abstract_non_coherent_tail_mean> const non_coherent_weighted_tail_mean = {}; + + BOOST_ACCUMULATORS_IGNORE_GLOBAL(non_coherent_weighted_tail_mean) +} + +using extract::non_coherent_weighted_tail_mean; + +}} // namespace boost::accumulators + +#ifdef _MSC_VER +# pragma warning(pop) +#endif + +#endif |