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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 weighted_tail_quantile.hpp
#define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
#include <boost/random.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/tools/floating_point_comparison.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics.hpp>
#include <boost/accumulators/statistics/weighted_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 = 20000; // cache size
double mu1 = 1.0;
double mu2 = -1.0;
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma1(mu1,1);
boost::normal_distribution<> mean_sigma2(mu2,1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2);
accumulator_set<double, stats<tag::weighted_tail_quantile<right> >, double>
acc1(right_tail_cache_size = c);
accumulator_set<double, stats<tag::weighted_tail_quantile<left> >, double>
acc2(left_tail_cache_size = c);
for (std::size_t i = 0; i < n; ++i)
{
double sample1 = normal1();
double sample2 = normal2();
acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
acc2(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
}
// 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, epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), -1.959963, epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), -3.090232, epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("weighted_tail_quantile test");
test->add(BOOST_TEST_CASE(&test_stat));
return test;
}
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