Added boost header
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Christophe Riccio
258
test/external/boost/accumulators/statistics/tail_variate_means.hpp
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258
test/external/boost/accumulators/statistics/tail_variate_means.hpp
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///////////////////////////////////////////////////////////////////////////////
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// tail_variate_means.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_TAIL_VARIATE_MEANS_HPP_DE_01_01_2006
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#define BOOST_ACCUMULATORS_STATISTICS_TAIL_VARIATE_MEANS_HPP_DE_01_01_2006
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#include <numeric>
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#include <vector>
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#include <limits>
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#include <functional>
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#include <sstream>
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#include <stdexcept>
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#include <boost/throw_exception.hpp>
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#include <boost/parameter/keyword.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/tail.hpp>
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#include <boost/accumulators/statistics/tail_variate.hpp>
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#include <boost/accumulators/statistics/tail_mean.hpp>
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#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
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#ifdef _MSC_VER
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# pragma warning(push)
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# pragma warning(disable: 4127) // conditional expression is constant
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#endif
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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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@brief Estimation of the absolute and relative tail variate means (for both left and right tails)
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For all \f$j\f$-th variates associated to the \f$\lceil n(1-\alpha)\rceil\f$ largest samples (or the
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\f$\lceil n(1-\alpha)\rceil\f$ smallest samples in case of the left tail), the absolute tail means
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\f$\widehat{ATM}_{n,\alpha}(X, j)\f$ are computed and returned as an iterator range. Alternatively,
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the relative tail means \f$\widehat{RTM}_{n,\alpha}(X, j)\f$ are returned, which are the absolute
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tail means normalized with the (non-coherent) sample tail mean \f$\widehat{NCTM}_{n,\alpha}(X)\f$.
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\f[
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\widehat{ATM}_{n,\alpha}^{\mathrm{right}}(X, j) =
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\frac{1}{\lceil n(1-\alpha) \rceil}
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\sum_{i=\lceil \alpha n \rceil}^n \xi_{j,i}
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\f]
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\f[
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\widehat{ATM}_{n,\alpha}^{\mathrm{left}}(X, j) =
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\frac{1}{\lceil n\alpha \rceil}
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\sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}
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\f]
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\f[
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\widehat{RTM}_{n,\alpha}^{\mathrm{right}}(X, j) =
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\frac{\sum_{i=\lceil n\alpha \rceil}^n \xi_{j,i}}
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{\lceil n(1-\alpha)\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X)}
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\f]
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\f[
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\widehat{RTM}_{n,\alpha}^{\mathrm{left}}(X, j) =
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\frac{\sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}}
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{\lceil n\alpha\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X)}
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\f]
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*/
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///////////////////////////////////////////////////////////////////////////////
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// tail_variate_means_impl
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// by default: absolute tail_variate_means
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template<typename Sample, typename Impl, typename LeftRight, typename VariateTag>
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struct tail_variate_means_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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typedef std::vector<float_type> array_type;
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// for boost::result_of
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typedef iterator_range<typename array_type::iterator> result_type;
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tail_variate_means_impl(dont_care) {}
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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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std::size_t cnt = count(args);
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std::size_t n = static_cast<std::size_t>(
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std::ceil(
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cnt * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] )
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)
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);
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std::size_t num_variates = tail_variate(args).begin()->size();
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this->tail_means_.clear();
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this->tail_means_.resize(num_variates, Sample(0));
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// If n is in a valid range, return result, otherwise return NaN or throw exception
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if (n < static_cast<std::size_t>(tail(args).size()))
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{
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this->tail_means_ = std::accumulate(
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tail_variate(args).begin()
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, tail_variate(args).begin() + n
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, this->tail_means_
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, numeric::plus
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);
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float_type factor = n * ( (is_same<Impl, relative>::value) ? non_coherent_tail_mean(args) : 1. );
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std::transform(
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this->tail_means_.begin()
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, this->tail_means_.end()
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, this->tail_means_.begin()
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, std::bind2nd(std::divides<float_type>(), factor)
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);
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}
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else
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{
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if (std::numeric_limits<float_type>::has_quiet_NaN)
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{
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std::fill(
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this->tail_means_.begin()
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, this->tail_means_.end()
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, std::numeric_limits<float_type>::quiet_NaN()
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);
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}
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else
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{
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std::ostringstream msg;
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msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
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boost::throw_exception(std::runtime_error(msg.str()));
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}
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}
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return make_iterator_range(this->tail_means_);
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}
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private:
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mutable array_type tail_means_;
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};
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} // namespace impl
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///////////////////////////////////////////////////////////////////////////////
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// tag::absolute_tail_variate_means
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// tag::relative_tail_variate_means
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//
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namespace tag
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{
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct absolute_tail_variate_means
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: depends_on<count, non_coherent_tail_mean<LeftRight>, tail_variate<VariateType, VariateTag, LeftRight> >
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{
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typedef accumulators::impl::tail_variate_means_impl<mpl::_1, absolute, LeftRight, VariateTag> impl;
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};
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct relative_tail_variate_means
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: depends_on<count, non_coherent_tail_mean<LeftRight>, tail_variate<VariateType, VariateTag, LeftRight> >
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{
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typedef accumulators::impl::tail_variate_means_impl<mpl::_1, relative, LeftRight, VariateTag> impl;
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};
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struct abstract_absolute_tail_variate_means
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: depends_on<>
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{
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};
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struct abstract_relative_tail_variate_means
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: depends_on<>
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{
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};
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}
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///////////////////////////////////////////////////////////////////////////////
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// extract::tail_variate_means
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// extract::relative_tail_variate_means
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//
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namespace extract
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{
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extractor<tag::abstract_absolute_tail_variate_means> const tail_variate_means = {};
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extractor<tag::abstract_relative_tail_variate_means> const relative_tail_variate_means = {};
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BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_variate_means)
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BOOST_ACCUMULATORS_IGNORE_GLOBAL(relative_tail_variate_means)
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}
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using extract::tail_variate_means;
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using extract::relative_tail_variate_means;
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// tail_variate_means<LeftRight, VariateType, VariateTag>(absolute) -> absolute_tail_variate_means<LeftRight, VariateType, VariateTag>
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct as_feature<tag::tail_variate_means<LeftRight, VariateType, VariateTag>(absolute)>
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{
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typedef tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> type;
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};
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// tail_variate_means<LeftRight, VariateType, VariateTag>(relative) ->relative_tail_variate_means<LeftRight, VariateType, VariateTag>
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct as_feature<tag::tail_variate_means<LeftRight, VariateType, VariateTag>(relative)>
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{
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typedef tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> type;
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};
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// Provides non-templatized extractor
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct feature_of<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
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: feature_of<tag::abstract_absolute_tail_variate_means>
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{
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};
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// Provides non-templatized extractor
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct feature_of<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
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: feature_of<tag::abstract_relative_tail_variate_means>
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{
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};
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// So that absolute_tail_means can be automatically substituted
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// with absolute_weighted_tail_means when the weight parameter is non-void.
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct as_weighted_feature<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
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{
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typedef tag::absolute_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> type;
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};
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct feature_of<tag::absolute_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> >
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: feature_of<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
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{
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};
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// So that relative_tail_means can be automatically substituted
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// with relative_weighted_tail_means when the weight parameter is non-void.
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct as_weighted_feature<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
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{
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typedef tag::relative_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> type;
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};
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template<typename LeftRight, typename VariateType, typename VariateTag>
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struct feature_of<tag::relative_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> >
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: feature_of<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
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{
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};
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}} // namespace boost::accumulators
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#ifdef _MSC_VER
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# pragma warning(pop)
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#endif
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#endif
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