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/Src/Dependencies/Boost/boost/accumulators/statistics/tail_variate_means.hpp

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  1///////////////////////////////////////////////////////////////////////////////
  2// tail_variate_means.hpp
  3//
  4//  Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost
  5//  Software License, Version 1.0. (See accompanying file
  6//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
  7
  8#ifndef BOOST_ACCUMULATORS_STATISTICS_TAIL_VARIATE_MEANS_HPP_DE_01_01_2006
  9#define BOOST_ACCUMULATORS_STATISTICS_TAIL_VARIATE_MEANS_HPP_DE_01_01_2006
 10
 11#include <numeric>
 12#include <vector>
 13#include <limits>
 14#include <functional>
 15#include <sstream>
 16#include <stdexcept>
 17#include <boost/throw_exception.hpp>
 18#include <boost/parameter/keyword.hpp>
 19#include <boost/mpl/placeholders.hpp>
 20#include <boost/type_traits/is_same.hpp>
 21#include <boost/accumulators/framework/accumulator_base.hpp>
 22#include <boost/accumulators/framework/extractor.hpp>
 23#include <boost/accumulators/numeric/functional.hpp>
 24#include <boost/accumulators/framework/parameters/sample.hpp>
 25#include <boost/accumulators/statistics_fwd.hpp>
 26#include <boost/accumulators/statistics/tail.hpp>
 27#include <boost/accumulators/statistics/tail_variate.hpp>
 28#include <boost/accumulators/statistics/tail_mean.hpp>
 29#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
 30
 31#ifdef _MSC_VER
 32# pragma warning(push)
 33# pragma warning(disable: 4127) // conditional expression is constant
 34#endif
 35
 36namespace boost { namespace accumulators
 37{
 38
 39namespace impl
 40{
 41    /**
 42        @brief Estimation of the absolute and relative tail variate means (for both left and right tails)
 43
 44        For all \f$j\f$-th variates associated to the \f$\lceil n(1-\alpha)\rceil\f$ largest samples (or the
 45        \f$\lceil n(1-\alpha)\rceil\f$ smallest samples in case of the left tail), the absolute tail means
 46        \f$\widehat{ATM}_{n,\alpha}(X, j)\f$ are computed and returned as an iterator range. Alternatively,
 47        the relative tail means \f$\widehat{RTM}_{n,\alpha}(X, j)\f$ are returned, which are the absolute
 48        tail means normalized with the (non-coherent) sample tail mean \f$\widehat{NCTM}_{n,\alpha}(X)\f$.
 49
 50        \f[
 51            \widehat{ATM}_{n,\alpha}^{\mathrm{right}}(X, j) =
 52                \frac{1}{\lceil n(1-\alpha) \rceil}
 53                \sum_{i=\lceil \alpha n \rceil}^n \xi_{j,i}
 54        \f]
 55
 56        \f[
 57            \widehat{ATM}_{n,\alpha}^{\mathrm{left}}(X, j) =
 58                \frac{1}{\lceil n\alpha \rceil}
 59                \sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}
 60        \f]
 61
 62        \f[
 63            \widehat{RTM}_{n,\alpha}^{\mathrm{right}}(X, j) =
 64                \frac{\sum_{i=\lceil n\alpha \rceil}^n \xi_{j,i}}
 65            {\lceil n(1-\alpha)\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X)}
 66        \f]
 67
 68        \f[
 69            \widehat{RTM}_{n,\alpha}^{\mathrm{left}}(X, j) =
 70                \frac{\sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i}}
 71            {\lceil n\alpha\rceil\widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X)}
 72        \f]
 73    */
 74
 75    ///////////////////////////////////////////////////////////////////////////////
 76    // tail_variate_means_impl
 77    //  by default: absolute tail_variate_means
 78    template<typename Sample, typename Impl, typename LeftRight, typename VariateTag>
 79    struct tail_variate_means_impl
 80      : accumulator_base
 81    {
 82        typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type;
 83        typedef std::vector<float_type> array_type;
 84        // for boost::result_of
 85        typedef iterator_range<typename array_type::iterator> result_type;
 86
 87        tail_variate_means_impl(dont_care) {}
 88
 89        template<typename Args>
 90        result_type result(Args const &args) const
 91        {
 92            std::size_t cnt = count(args);
 93
 94            std::size_t n = static_cast<std::size_t>(
 95                std::ceil(
 96                    cnt * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] )
 97                )
 98            );
 99
100            std::size_t num_variates = tail_variate(args).begin()->size();
101
102            this->tail_means_.clear();
103            this->tail_means_.resize(num_variates, Sample(0));
104
105            // If n is in a valid range, return result, otherwise return NaN or throw exception
106            if (n < static_cast<std::size_t>(tail(args).size()))
107            {
108                this->tail_means_ = std::accumulate(
109                    tail_variate(args).begin()
110                  , tail_variate(args).begin() + n
111                  , this->tail_means_
112                  , numeric::plus
113                );
114
115                float_type factor = n * ( (is_same<Impl, relative>::value) ? non_coherent_tail_mean(args) : 1. );
116
117                std::transform(
118                    this->tail_means_.begin()
119                  , this->tail_means_.end()
120                  , this->tail_means_.begin()
121                  , std::bind2nd(std::divides<float_type>(), factor)
122                );
123            }
124            else
125            {
126                if (std::numeric_limits<float_type>::has_quiet_NaN)
127                {
128                    std::fill(
129                        this->tail_means_.begin()
130                      , this->tail_means_.end()
131                      , std::numeric_limits<float_type>::quiet_NaN()
132                    );
133                }
134                else
135                {
136                    std::ostringstream msg;
137                    msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
138                    boost::throw_exception(std::runtime_error(msg.str()));
139                }
140            }
141            return make_iterator_range(this->tail_means_);
142        }
143
144    private:
145
146        mutable array_type tail_means_;
147
148    };
149
150} // namespace impl
151
152///////////////////////////////////////////////////////////////////////////////
153// tag::absolute_tail_variate_means
154// tag::relative_tail_variate_means
155//
156namespace tag
157{
158    template<typename LeftRight, typename VariateType, typename VariateTag>
159    struct absolute_tail_variate_means
160      : depends_on<count, non_coherent_tail_mean<LeftRight>, tail_variate<VariateType, VariateTag, LeftRight> >
161    {
162        typedef accumulators::impl::tail_variate_means_impl<mpl::_1, absolute, LeftRight, VariateTag> impl;
163    };
164    template<typename LeftRight, typename VariateType, typename VariateTag>
165    struct relative_tail_variate_means
166      : depends_on<count, non_coherent_tail_mean<LeftRight>, tail_variate<VariateType, VariateTag, LeftRight> >
167    {
168        typedef accumulators::impl::tail_variate_means_impl<mpl::_1, relative, LeftRight, VariateTag> impl;
169    };
170    struct abstract_absolute_tail_variate_means
171      : depends_on<>
172    {
173    };
174    struct abstract_relative_tail_variate_means
175      : depends_on<>
176    {
177    };
178}
179
180///////////////////////////////////////////////////////////////////////////////
181// extract::tail_variate_means
182// extract::relative_tail_variate_means
183//
184namespace extract
185{
186    extractor<tag::abstract_absolute_tail_variate_means> const tail_variate_means = {};
187    extractor<tag::abstract_relative_tail_variate_means> const relative_tail_variate_means = {};
188
189    BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_variate_means)
190    BOOST_ACCUMULATORS_IGNORE_GLOBAL(relative_tail_variate_means)
191}
192
193using extract::tail_variate_means;
194using extract::relative_tail_variate_means;
195
196// tail_variate_means<LeftRight, VariateType, VariateTag>(absolute) -> absolute_tail_variate_means<LeftRight, VariateType, VariateTag>
197template<typename LeftRight, typename VariateType, typename VariateTag>
198struct as_feature<tag::tail_variate_means<LeftRight, VariateType, VariateTag>(absolute)>
199{
200    typedef tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> type;
201};
202
203// tail_variate_means<LeftRight, VariateType, VariateTag>(relative) ->relative_tail_variate_means<LeftRight, VariateType, VariateTag>
204template<typename LeftRight, typename VariateType, typename VariateTag>
205struct as_feature<tag::tail_variate_means<LeftRight, VariateType, VariateTag>(relative)>
206{
207    typedef tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> type;
208};
209
210// Provides non-templatized extractor
211template<typename LeftRight, typename VariateType, typename VariateTag>
212struct feature_of<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
213  : feature_of<tag::abstract_absolute_tail_variate_means>
214{
215};
216
217// Provides non-templatized extractor
218template<typename LeftRight, typename VariateType, typename VariateTag>
219struct feature_of<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
220  : feature_of<tag::abstract_relative_tail_variate_means>
221{
222};
223
224// So that absolute_tail_means can be automatically substituted
225// with absolute_weighted_tail_means when the weight parameter is non-void.
226template<typename LeftRight, typename VariateType, typename VariateTag>
227struct as_weighted_feature<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
228{
229    typedef tag::absolute_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> type;
230};
231
232template<typename LeftRight, typename VariateType, typename VariateTag>
233struct feature_of<tag::absolute_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> >
234  : feature_of<tag::absolute_tail_variate_means<LeftRight, VariateType, VariateTag> >
235{
236};
237
238// So that relative_tail_means can be automatically substituted
239// with relative_weighted_tail_means when the weight parameter is non-void.
240template<typename LeftRight, typename VariateType, typename VariateTag>
241struct as_weighted_feature<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
242{
243    typedef tag::relative_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> type;
244};
245
246template<typename LeftRight, typename VariateType, typename VariateTag>
247struct feature_of<tag::relative_weighted_tail_variate_means<LeftRight, VariateType, VariateTag> >
248  : feature_of<tag::relative_tail_variate_means<LeftRight, VariateType, VariateTag> >
249{
250};
251
252}} // namespace boost::accumulators
253
254#ifdef _MSC_VER
255# pragma warning(pop)
256#endif
257
258#endif