Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // tail_quantile.hpp
Chris@16: //
Chris@16: //  Copyright 2006 Daniel Egloff, Olivier Gygi. 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_TAIL_QUANTILE_HPP_DE_01_01_2006
Chris@16: #define BOOST_ACCUMULATORS_STATISTICS_TAIL_QUANTILE_HPP_DE_01_01_2006
Chris@16: 
Chris@16: #include <vector>
Chris@16: #include <limits>
Chris@16: #include <functional>
Chris@16: #include <sstream>
Chris@16: #include <stdexcept>
Chris@16: #include <boost/config/no_tr1/cmath.hpp>             // For ceil
Chris@16: #include <boost/throw_exception.hpp>
Chris@16: #include <boost/parameter/keyword.hpp>
Chris@16: #include <boost/mpl/placeholders.hpp>
Chris@16: #include <boost/mpl/if.hpp>
Chris@16: #include <boost/type_traits/is_same.hpp>
Chris@16: #include <boost/accumulators/framework/depends_on.hpp>
Chris@16: #include <boost/accumulators/framework/accumulator_base.hpp>
Chris@16: #include <boost/accumulators/framework/extractor.hpp>
Chris@16: #include <boost/accumulators/numeric/functional.hpp>
Chris@16: #include <boost/accumulators/framework/parameters/sample.hpp>
Chris@16: #include <boost/accumulators/statistics_fwd.hpp>
Chris@16: #include <boost/accumulators/statistics/tail.hpp>
Chris@16: #include <boost/accumulators/statistics/count.hpp>
Chris@16: #include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
Chris@16: 
Chris@16: #ifdef _MSC_VER
Chris@16: # pragma warning(push)
Chris@16: # pragma warning(disable: 4127) // conditional expression is constant
Chris@16: #endif
Chris@16: 
Chris@16: namespace boost { namespace accumulators
Chris@16: {
Chris@16: 
Chris@16: namespace impl
Chris@16: {
Chris@16:     ///////////////////////////////////////////////////////////////////////////////
Chris@16:     // tail_quantile_impl
Chris@16:     //  Tail quantile estimation based on order statistics
Chris@16:     /**
Chris@16:         @brief Tail quantile estimation based on order statistics (for both left and right tails)
Chris@16: 
Chris@16:         The estimation of a tail quantile \f$\hat{q}\f$ with level \f$\alpha\f$ based on order statistics requires the
Chris@16:         caching of at least the \f$\lceil n\alpha\rceil\f$ smallest or the \f$\lceil n(1-\alpha)\rceil\f$ largest samples,
Chris@16:         \f$n\f$ being the total number of samples. The largest of the \f$\lceil n\alpha\rceil\f$ smallest samples or the
Chris@16:         smallest of the \f$\lceil n(1-\alpha)\rceil\f$ largest samples provides an estimate for the quantile:
Chris@16: 
Chris@16:         \f[
Chris@16:             \hat{q}_{n,\alpha} = X_{\lceil \alpha n \rceil:n}
Chris@16:         \f]
Chris@16: 
Chris@16:         @param quantile_probability
Chris@16:     */
Chris@16:     template<typename Sample, typename LeftRight>
Chris@16:     struct tail_quantile_impl
Chris@16:       : accumulator_base
Chris@16:     {
Chris@16:         // for boost::result_of
Chris@16:         typedef Sample result_type;
Chris@16: 
Chris@16:         tail_quantile_impl(dont_care) {}
Chris@16: 
Chris@16:         template<typename Args>
Chris@16:         result_type result(Args const &args) const
Chris@16:         {
Chris@16:             std::size_t cnt = count(args);
Chris@16: 
Chris@16:             std::size_t n = static_cast<std::size_t>(
Chris@16:                 std::ceil(
Chris@16:                     cnt * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] )
Chris@16:                 )
Chris@16:             );
Chris@16: 
Chris@16:             // If n is in a valid range, return result, otherwise return NaN or throw exception
Chris@16:             if ( n < static_cast<std::size_t>(tail(args).size()))
Chris@16:             {
Chris@16:                // Note that the cached samples of the left are sorted in ascending order,
Chris@16:                // whereas the samples of the right tail are sorted in descending order
Chris@16:                return *(boost::begin(tail(args)) + n - 1);
Chris@16:             }
Chris@16:             else
Chris@16:             {
Chris@16:                 if (std::numeric_limits<result_type>::has_quiet_NaN)
Chris@16:                 {
Chris@16:                     return std::numeric_limits<result_type>::quiet_NaN();
Chris@16:                 }
Chris@16:                 else
Chris@16:                 {
Chris@16:                     std::ostringstream msg;
Chris@16:                     msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
Chris@16:                     boost::throw_exception(std::runtime_error(msg.str()));
Chris@16:                     return Sample(0);
Chris@16:                 }
Chris@16:             }
Chris@16:         }
Chris@16:     };
Chris@16: } // namespace impl
Chris@16: 
Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // tag::tail_quantile<>
Chris@16: //
Chris@16: namespace tag
Chris@16: {
Chris@16:     template<typename LeftRight>
Chris@16:     struct tail_quantile
Chris@16:       : depends_on<count, tail<LeftRight> >
Chris@16:     {
Chris@16:         /// INTERNAL ONLY
Chris@16:         ///
Chris@16:         typedef accumulators::impl::tail_quantile_impl<mpl::_1, LeftRight> impl;
Chris@16:     };
Chris@16: }
Chris@16: 
Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // extract::tail_quantile
Chris@16: //
Chris@16: namespace extract
Chris@16: {
Chris@16:     extractor<tag::quantile> const tail_quantile = {};
Chris@16: 
Chris@16:     BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_quantile)
Chris@16: }
Chris@16: 
Chris@16: using extract::tail_quantile;
Chris@16: 
Chris@16: // for the purposes of feature-based dependency resolution,
Chris@16: // tail_quantile<LeftRight> provide the same feature as quantile
Chris@16: template<typename LeftRight>
Chris@16: struct feature_of<tag::tail_quantile<LeftRight> >
Chris@16:   : feature_of<tag::quantile>
Chris@16: {
Chris@16: };
Chris@16: 
Chris@16: // So that tail_quantile can be automatically substituted with
Chris@16: // weighted_tail_quantile when the weight parameter is non-void.
Chris@16: template<typename LeftRight>
Chris@16: struct as_weighted_feature<tag::tail_quantile<LeftRight> >
Chris@16: {
Chris@16:     typedef tag::weighted_tail_quantile<LeftRight> type;
Chris@16: };
Chris@16: 
Chris@16: template<typename LeftRight>
Chris@16: struct feature_of<tag::weighted_tail_quantile<LeftRight> >
Chris@16:   : feature_of<tag::tail_quantile<LeftRight> >
Chris@16: {};
Chris@16: 
Chris@16: }} // namespace boost::accumulators
Chris@16: 
Chris@16: #ifdef _MSC_VER
Chris@16: # pragma warning(pop)
Chris@16: #endif
Chris@16: 
Chris@16: #endif