Added boost header
This commit is contained in:
Christophe Riccio
205
test/external/boost/accumulators/statistics/pot_quantile.hpp
vendored
Normal file
205
test/external/boost/accumulators/statistics/pot_quantile.hpp
vendored
Normal file
@@ -0,0 +1,205 @@
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// pot_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_POT_QUANTILE_HPP_DE_01_01_2006
|
||||
#define BOOST_ACCUMULATORS_STATISTICS_POT_QUANTILE_HPP_DE_01_01_2006
|
||||
|
||||
#include <vector>
|
||||
#include <limits>
|
||||
#include <numeric>
|
||||
#include <functional>
|
||||
#include <boost/parameter/keyword.hpp>
|
||||
#include <boost/tuple/tuple.hpp>
|
||||
#include <boost/mpl/if.hpp>
|
||||
#include <boost/type_traits/is_same.hpp>
|
||||
#include <boost/mpl/placeholders.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/peaks_over_threshold.hpp>
|
||||
#include <boost/accumulators/statistics/weighted_peaks_over_threshold.hpp>
|
||||
|
||||
namespace boost { namespace accumulators
|
||||
{
|
||||
|
||||
namespace impl
|
||||
{
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// pot_quantile_impl
|
||||
//
|
||||
/**
|
||||
@brief Quantile Estimation based on Peaks over Threshold Method (for both left and right tails)
|
||||
|
||||
Computes an estimate
|
||||
\f[
|
||||
\hat{q}_{\alpha} = \bar{u} + \frac{\bar{\beta}}{\xi}\left[(1-\alpha)^{-\xi}-1\right]
|
||||
\f]
|
||||
for a right or left extreme quantile, \f$\bar[u]\f$, \f$\bar{\beta}\f$ and \f$\xi\f$ being the parameters of the
|
||||
generalized Pareto distribution that approximates the right tail of the distribution (or the mirrored left tail,
|
||||
in case the left tail is used). In the latter case, the result is mirrored back, yielding the correct result.
|
||||
*/
|
||||
template<typename Sample, typename Impl, typename LeftRight>
|
||||
struct pot_quantile_impl
|
||||
: accumulator_base
|
||||
{
|
||||
typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type;
|
||||
// for boost::result_of
|
||||
typedef float_type result_type;
|
||||
|
||||
pot_quantile_impl(dont_care)
|
||||
: sign_((is_same<LeftRight, left>::value) ? -1 : 1)
|
||||
{
|
||||
}
|
||||
|
||||
template<typename Args>
|
||||
result_type result(Args const &args) const
|
||||
{
|
||||
typedef
|
||||
typename mpl::if_<
|
||||
is_same<Impl, weighted>
|
||||
, tag::weighted_peaks_over_threshold<LeftRight>
|
||||
, tag::peaks_over_threshold<LeftRight>
|
||||
>::type
|
||||
peaks_over_threshold_tag;
|
||||
|
||||
extractor<peaks_over_threshold_tag> const some_peaks_over_threshold = {};
|
||||
|
||||
float_type u_bar = some_peaks_over_threshold(args).template get<0>();
|
||||
float_type beta_bar = some_peaks_over_threshold(args).template get<1>();
|
||||
float_type xi_hat = some_peaks_over_threshold(args).template get<2>();
|
||||
|
||||
return this->sign_ * (u_bar + beta_bar/xi_hat * ( std::pow(
|
||||
is_same<LeftRight, left>::value ? args[quantile_probability] : 1. - args[quantile_probability]
|
||||
, -xi_hat
|
||||
) - 1.));
|
||||
}
|
||||
|
||||
private:
|
||||
short sign_; // if the fit parameters from the mirrored left tail extreme values are used, mirror back the result
|
||||
};
|
||||
|
||||
} // namespace impl
|
||||
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// tag::pot_quantile<>
|
||||
// tag::pot_quantile_prob<>
|
||||
// tag::weighted_pot_quantile<>
|
||||
// tag::weighted_pot_quantile_prob<>
|
||||
//
|
||||
namespace tag
|
||||
{
|
||||
template<typename LeftRight>
|
||||
struct pot_quantile
|
||||
: depends_on<peaks_over_threshold<LeftRight> >
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::pot_quantile_impl<mpl::_1, unweighted, LeftRight> impl;
|
||||
};
|
||||
template<typename LeftRight>
|
||||
struct pot_quantile_prob
|
||||
: depends_on<peaks_over_threshold_prob<LeftRight> >
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::pot_quantile_impl<mpl::_1, unweighted, LeftRight> impl;
|
||||
};
|
||||
template<typename LeftRight>
|
||||
struct weighted_pot_quantile
|
||||
: depends_on<weighted_peaks_over_threshold<LeftRight> >
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::pot_quantile_impl<mpl::_1, weighted, LeftRight> impl;
|
||||
};
|
||||
template<typename LeftRight>
|
||||
struct weighted_pot_quantile_prob
|
||||
: depends_on<weighted_peaks_over_threshold_prob<LeftRight> >
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::pot_quantile_impl<mpl::_1, weighted, LeftRight> impl;
|
||||
};
|
||||
}
|
||||
|
||||
// pot_quantile<LeftRight>(with_threshold_value) -> pot_quantile<LeftRight>
|
||||
template<typename LeftRight>
|
||||
struct as_feature<tag::pot_quantile<LeftRight>(with_threshold_value)>
|
||||
{
|
||||
typedef tag::pot_quantile<LeftRight> type;
|
||||
};
|
||||
|
||||
// pot_quantile<LeftRight>(with_threshold_probability) -> pot_quantile_prob<LeftRight>
|
||||
template<typename LeftRight>
|
||||
struct as_feature<tag::pot_quantile<LeftRight>(with_threshold_probability)>
|
||||
{
|
||||
typedef tag::pot_quantile_prob<LeftRight> type;
|
||||
};
|
||||
|
||||
// weighted_pot_quantile<LeftRight>(with_threshold_value) -> weighted_pot_quantile<LeftRight>
|
||||
template<typename LeftRight>
|
||||
struct as_feature<tag::weighted_pot_quantile<LeftRight>(with_threshold_value)>
|
||||
{
|
||||
typedef tag::weighted_pot_quantile<LeftRight> type;
|
||||
};
|
||||
|
||||
// weighted_pot_quantile<LeftRight>(with_threshold_probability) -> weighted_pot_quantile_prob<LeftRight>
|
||||
template<typename LeftRight>
|
||||
struct as_feature<tag::weighted_pot_quantile<LeftRight>(with_threshold_probability)>
|
||||
{
|
||||
typedef tag::weighted_pot_quantile_prob<LeftRight> type;
|
||||
};
|
||||
|
||||
// for the purposes of feature-based dependency resolution,
|
||||
// pot_quantile<LeftRight> and pot_quantile_prob<LeftRight> provide
|
||||
// the same feature as quantile
|
||||
template<typename LeftRight>
|
||||
struct feature_of<tag::pot_quantile<LeftRight> >
|
||||
: feature_of<tag::quantile>
|
||||
{
|
||||
};
|
||||
|
||||
template<typename LeftRight>
|
||||
struct feature_of<tag::pot_quantile_prob<LeftRight> >
|
||||
: feature_of<tag::quantile>
|
||||
{
|
||||
};
|
||||
|
||||
// So that pot_quantile can be automatically substituted
|
||||
// with weighted_pot_quantile when the weight parameter is non-void.
|
||||
template<typename LeftRight>
|
||||
struct as_weighted_feature<tag::pot_quantile<LeftRight> >
|
||||
{
|
||||
typedef tag::weighted_pot_quantile<LeftRight> type;
|
||||
};
|
||||
|
||||
template<typename LeftRight>
|
||||
struct feature_of<tag::weighted_pot_quantile<LeftRight> >
|
||||
: feature_of<tag::pot_quantile<LeftRight> >
|
||||
{
|
||||
};
|
||||
|
||||
// So that pot_quantile_prob can be automatically substituted
|
||||
// with weighted_pot_quantile_prob when the weight parameter is non-void.
|
||||
template<typename LeftRight>
|
||||
struct as_weighted_feature<tag::pot_quantile_prob<LeftRight> >
|
||||
{
|
||||
typedef tag::weighted_pot_quantile_prob<LeftRight> type;
|
||||
};
|
||||
|
||||
template<typename LeftRight>
|
||||
struct feature_of<tag::weighted_pot_quantile_prob<LeftRight> >
|
||||
: feature_of<tag::pot_quantile_prob<LeftRight> >
|
||||
{
|
||||
};
|
||||
|
||||
}} // namespace boost::accumulators
|
||||
|
||||
#endif
|
||||
Reference in New Issue
Block a user