Added boost header
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Christophe Riccio
211
test/external/boost/accumulators/statistics/pot_tail_mean.hpp
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test/external/boost/accumulators/statistics/pot_tail_mean.hpp
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///////////////////////////////////////////////////////////////////////////////
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// pot_tail_mean.hpp
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//
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// Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost
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// Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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#ifndef BOOST_ACCUMULATORS_STATISTICS_POT_TAIL_MEAN_HPP_DE_01_01_2006
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#define BOOST_ACCUMULATORS_STATISTICS_POT_TAIL_MEAN_HPP_DE_01_01_2006
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#include <vector>
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#include <limits>
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#include <numeric>
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#include <functional>
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#include <boost/range.hpp>
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#include <boost/parameter/keyword.hpp>
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#include <boost/tuple/tuple.hpp>
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#include <boost/mpl/if.hpp>
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#include <boost/mpl/placeholders.hpp>
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#include <boost/type_traits/is_same.hpp>
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#include <boost/accumulators/framework/accumulator_base.hpp>
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#include <boost/accumulators/framework/extractor.hpp>
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#include <boost/accumulators/numeric/functional.hpp>
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#include <boost/accumulators/framework/parameters/sample.hpp>
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#include <boost/accumulators/statistics_fwd.hpp>
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#include <boost/accumulators/statistics/peaks_over_threshold.hpp>
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#include <boost/accumulators/statistics/weighted_peaks_over_threshold.hpp>
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#include <boost/accumulators/statistics/pot_quantile.hpp>
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#include <boost/accumulators/statistics/tail_mean.hpp>
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namespace boost { namespace accumulators
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{
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namespace impl
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{
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///////////////////////////////////////////////////////////////////////////////
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// pot_tail_mean_impl
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//
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/**
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@brief Estimation of the (coherent) tail mean based on the peaks over threshold method (for both left and right tails)
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Computes an estimate for the (coherent) tail mean
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\f[
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\widehat{CTM}_{\alpha} = \hat{q}_{\alpha} - \frac{\bar{\beta}}{\xi-1}(1-\alpha)^{-\xi},
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\f]
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where \f$\bar[u]\f$, \f$\bar{\beta}\f$ and \f$\xi\f$ are the parameters of the
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generalized Pareto distribution that approximates the right tail of the distribution (or the
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mirrored left tail, in case the left tail is used). In the latter case, the result is mirrored
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back, yielding the correct result.
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*/
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template<typename Sample, typename Impl, typename LeftRight>
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struct pot_tail_mean_impl
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: accumulator_base
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{
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typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type;
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// for boost::result_of
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typedef float_type result_type;
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pot_tail_mean_impl(dont_care)
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: sign_((is_same<LeftRight, left>::value) ? -1 : 1)
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{
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}
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template<typename Args>
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result_type result(Args const &args) const
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{
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typedef
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typename mpl::if_<
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is_same<Impl, weighted>
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, tag::weighted_peaks_over_threshold<LeftRight>
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, tag::peaks_over_threshold<LeftRight>
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>::type
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peaks_over_threshold_tag;
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typedef
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typename mpl::if_<
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is_same<Impl, weighted>
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, tag::weighted_pot_quantile<LeftRight>
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, tag::pot_quantile<LeftRight>
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>::type
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pot_quantile_tag;
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extractor<peaks_over_threshold_tag> const some_peaks_over_threshold = {};
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extractor<pot_quantile_tag> const some_pot_quantile = {};
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float_type beta_bar = some_peaks_over_threshold(args).template get<1>();
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float_type xi_hat = some_peaks_over_threshold(args).template get<2>();
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return some_pot_quantile(args) - this->sign_ * beta_bar/( xi_hat - 1. ) * std::pow(
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is_same<LeftRight, left>::value ? args[quantile_probability] : 1. - args[quantile_probability]
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, -xi_hat);
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}
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private:
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short sign_; // if the fit parameters from the mirrored left tail extreme values are used, mirror back the result
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};
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} // namespace impl
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///////////////////////////////////////////////////////////////////////////////
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// tag::pot_tail_mean
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// tag::pot_tail_mean_prob
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//
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namespace tag
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{
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template<typename LeftRight>
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struct pot_tail_mean
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: depends_on<peaks_over_threshold<LeftRight>, pot_quantile<LeftRight> >
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::pot_tail_mean_impl<mpl::_1, unweighted, LeftRight> impl;
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};
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template<typename LeftRight>
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struct pot_tail_mean_prob
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: depends_on<peaks_over_threshold_prob<LeftRight>, pot_quantile_prob<LeftRight> >
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::pot_tail_mean_impl<mpl::_1, unweighted, LeftRight> impl;
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};
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template<typename LeftRight>
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struct weighted_pot_tail_mean
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: depends_on<weighted_peaks_over_threshold<LeftRight>, weighted_pot_quantile<LeftRight> >
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::pot_tail_mean_impl<mpl::_1, weighted, LeftRight> impl;
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};
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template<typename LeftRight>
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struct weighted_pot_tail_mean_prob
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: depends_on<weighted_peaks_over_threshold_prob<LeftRight>, weighted_pot_quantile_prob<LeftRight> >
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::pot_tail_mean_impl<mpl::_1, weighted, LeftRight> impl;
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};
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}
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// pot_tail_mean<LeftRight>(with_threshold_value) -> pot_tail_mean<LeftRight>
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template<typename LeftRight>
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struct as_feature<tag::pot_tail_mean<LeftRight>(with_threshold_value)>
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{
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typedef tag::pot_tail_mean<LeftRight> type;
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};
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// pot_tail_mean<LeftRight>(with_threshold_probability) -> pot_tail_mean_prob<LeftRight>
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template<typename LeftRight>
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struct as_feature<tag::pot_tail_mean<LeftRight>(with_threshold_probability)>
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{
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typedef tag::pot_tail_mean_prob<LeftRight> type;
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};
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// weighted_pot_tail_mean<LeftRight>(with_threshold_value) -> weighted_pot_tail_mean<LeftRight>
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template<typename LeftRight>
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struct as_feature<tag::weighted_pot_tail_mean<LeftRight>(with_threshold_value)>
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{
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typedef tag::weighted_pot_tail_mean<LeftRight> type;
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};
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// weighted_pot_tail_mean<LeftRight>(with_threshold_probability) -> weighted_pot_tail_mean_prob<LeftRight>
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template<typename LeftRight>
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struct as_feature<tag::weighted_pot_tail_mean<LeftRight>(with_threshold_probability)>
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{
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typedef tag::weighted_pot_tail_mean_prob<LeftRight> type;
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};
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// for the purposes of feature-based dependency resolution,
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// pot_tail_mean<LeftRight> and pot_tail_mean_prob<LeftRight> provide
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// the same feature as tail_mean
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template<typename LeftRight>
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struct feature_of<tag::pot_tail_mean<LeftRight> >
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: feature_of<tag::tail_mean>
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{
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};
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template<typename LeftRight>
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struct feature_of<tag::pot_tail_mean_prob<LeftRight> >
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: feature_of<tag::tail_mean>
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{
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};
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// So that pot_tail_mean can be automatically substituted
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// with weighted_pot_tail_mean when the weight parameter is non-void.
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template<typename LeftRight>
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struct as_weighted_feature<tag::pot_tail_mean<LeftRight> >
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{
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typedef tag::weighted_pot_tail_mean<LeftRight> type;
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};
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template<typename LeftRight>
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struct feature_of<tag::weighted_pot_tail_mean<LeftRight> >
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: feature_of<tag::pot_tail_mean<LeftRight> >
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{
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};
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// So that pot_tail_mean_prob can be automatically substituted
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// with weighted_pot_tail_mean_prob when the weight parameter is non-void.
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template<typename LeftRight>
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struct as_weighted_feature<tag::pot_tail_mean_prob<LeftRight> >
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{
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typedef tag::weighted_pot_tail_mean_prob<LeftRight> type;
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};
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template<typename LeftRight>
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struct feature_of<tag::weighted_pot_tail_mean_prob<LeftRight> >
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: feature_of<tag::pot_tail_mean_prob<LeftRight> >
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{
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};
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}} // namespace boost::accumulators
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#endif
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