Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // weighted_kurtosis.hpp
Chris@16: //
Chris@16: //  Copyright 2006 Olivier Gygi, Daniel Egloff. Distributed under the Boost
Chris@16: //  Software License, Version 1.0. (See accompanying file
Chris@16: //  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
Chris@16: 
Chris@16: #ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_KURTOSIS_HPP_EAN_28_10_2005
Chris@16: #define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_KURTOSIS_HPP_EAN_28_10_2005
Chris@16: 
Chris@16: #include <limits>
Chris@16: #include <boost/mpl/placeholders.hpp>
Chris@16: #include <boost/accumulators/framework/accumulator_base.hpp>
Chris@16: #include <boost/accumulators/framework/extractor.hpp>
Chris@16: #include <boost/accumulators/framework/parameters/sample.hpp>
Chris@16: #include <boost/accumulators/numeric/functional.hpp>
Chris@16: #include <boost/accumulators/framework/depends_on.hpp>
Chris@16: #include <boost/accumulators/statistics_fwd.hpp>
Chris@16: #include <boost/accumulators/statistics/weighted_moment.hpp>
Chris@16: #include <boost/accumulators/statistics/weighted_mean.hpp>
Chris@16: 
Chris@16: namespace boost { namespace accumulators
Chris@16: {
Chris@16: 
Chris@16: namespace impl
Chris@16: {
Chris@16:     ///////////////////////////////////////////////////////////////////////////////
Chris@16:     // weighted_kurtosis_impl
Chris@16:     /**
Chris@16:         @brief Kurtosis estimation for weighted samples
Chris@16: 
Chris@16:         The kurtosis of a sample distribution is defined as the ratio of the 4th central moment and the square of the 2nd central
Chris@16:         moment (the variance) of the samples, minus 3. The term \f$ -3 \f$ is added in order to ensure that the normal distribution
Chris@16:         has zero kurtosis. The kurtosis can also be expressed by the simple moments:
Chris@16: 
Chris@16:         \f[
Chris@16:             \hat{g}_2 =
Chris@16:                 \frac
Chris@16:                 {\widehat{m}_n^{(4)}-4\widehat{m}_n^{(3)}\hat{\mu}_n+6\widehat{m}_n^{(2)}\hat{\mu}_n^2-3\hat{\mu}_n^4}
Chris@16:                 {\left(\widehat{m}_n^{(2)} - \hat{\mu}_n^{2}\right)^2} - 3,
Chris@16:         \f]
Chris@16: 
Chris@16:         where \f$ \widehat{m}_n^{(i)} \f$ are the \f$ i \f$-th moment and \f$ \hat{\mu}_n \f$ the mean (first moment) of the
Chris@16:         \f$ n \f$ samples.
Chris@16: 
Chris@16:         The kurtosis estimator for weighted samples is formally identical to the estimator for unweighted samples, except that
Chris@16:         the weighted counterparts of all measures it depends on are to be taken.
Chris@16:     */
Chris@16:     template<typename Sample, typename Weight>
Chris@16:     struct weighted_kurtosis_impl
Chris@16:       : accumulator_base
Chris@16:     {
Chris@16:         typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample;
Chris@16:         // for boost::result_of
Chris@16:         typedef typename numeric::functional::fdiv<weighted_sample, weighted_sample>::result_type result_type;
Chris@16: 
Chris@16:         weighted_kurtosis_impl(dont_care)
Chris@16:         {
Chris@16:         }
Chris@16: 
Chris@16:         template<typename Args>
Chris@16:         result_type result(Args const &args) const
Chris@16:         {
Chris@16:             return numeric::fdiv(
Chris@16:                         accumulators::weighted_moment<4>(args)
Chris@16:                         - 4. * accumulators::weighted_moment<3>(args) * weighted_mean(args)
Chris@16:                         + 6. * accumulators::weighted_moment<2>(args) * weighted_mean(args) * weighted_mean(args)
Chris@16:                         - 3. * weighted_mean(args) * weighted_mean(args) * weighted_mean(args) * weighted_mean(args)
Chris@16:                       , ( accumulators::weighted_moment<2>(args) - weighted_mean(args) * weighted_mean(args) )
Chris@16:                         * ( accumulators::weighted_moment<2>(args) - weighted_mean(args) * weighted_mean(args) )
Chris@16:                    ) - 3.;
Chris@16:         }
Chris@16:     };
Chris@16: 
Chris@16: } // namespace impl
Chris@16: 
Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // tag::weighted_kurtosis
Chris@16: //
Chris@16: namespace tag
Chris@16: {
Chris@16:     struct weighted_kurtosis
Chris@16:       : depends_on<weighted_mean, weighted_moment<2>, weighted_moment<3>, weighted_moment<4> >
Chris@16:     {
Chris@16:         /// INTERNAL ONLY
Chris@16:         ///
Chris@16:         typedef accumulators::impl::weighted_kurtosis_impl<mpl::_1, mpl::_2> impl;
Chris@16:     };
Chris@16: }
Chris@16: 
Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // extract::weighted_kurtosis
Chris@16: //
Chris@16: namespace extract
Chris@16: {
Chris@16:     extractor<tag::weighted_kurtosis> const weighted_kurtosis = {};
Chris@16: 
Chris@16:     BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_kurtosis)
Chris@16: }
Chris@16: 
Chris@16: using extract::weighted_kurtosis;
Chris@16: 
Chris@16: }} // namespace boost::accumulators
Chris@16: 
Chris@16: #endif