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// (C) Copyright 2006 Eric Niebler, Olivier Gygi.
// Use, modification and distribution are subject to 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)
// Test case for tail_quantile.hpp
#include <boost/random.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/tools/floating_point_comparison.hpp>
#include <boost/accumulators/numeric/functional/vector.hpp>
#include <boost/accumulators/numeric/functional/complex.hpp>
#include <boost/accumulators/numeric/functional/valarray.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/tail_quantile.hpp>
using namespace boost;
using namespace unit_test;
using namespace boost::accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// tolerance in %
double epsilon = 1;
std::size_t n = 100000; // number of MC steps
std::size_t c = 10000; // cache size
typedef accumulator_set<double, stats<tag::tail_quantile<right> > > accumulator_t_right;
typedef accumulator_set<double, stats<tag::tail_quantile<left> > > accumulator_t_left;
accumulator_t_right acc0( right_tail_cache_size = c );
accumulator_t_right acc1( right_tail_cache_size = c );
accumulator_t_left acc2( left_tail_cache_size = c );
accumulator_t_left acc3( left_tail_cache_size = c );
// two random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma(0,1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
for (std::size_t i = 0; i < n; ++i)
{
double sample1 = rng();
double sample2 = normal();
acc0(sample1);
acc1(sample2);
acc2(sample1);
acc3(sample2);
}
// check uniform distribution
BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.95 ), 0.95, epsilon );
BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.975), 0.975, epsilon );
BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.99 ), 0.99, epsilon );
BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.999), 0.999, epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.05 ), 0.05, 4*epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), 0.025, 5*epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.01 ), 0.01, 7*epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), 0.001, 22*epsilon );
// check standard normal distribution
BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975), 1.959963, epsilon );
BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.025), -1.959963, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 3*epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("tail_quantile test");
test->add(BOOST_TEST_CASE(&test_stat));
return test;
}
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