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/////////////////////////////////////////////////////////////////////////////// // pot_quantile.hpp // // Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost // Software License, Version 1.0. (See accompanying file // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) #ifndef BOOST_ACCUMULATORS_STATISTICS_POT_QUANTILE_HPP_DE_01_01_2006 #define BOOST_ACCUMULATORS_STATISTICS_POT_QUANTILE_HPP_DE_01_01_2006 #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include namespace boost { namespace accumulators { namespace impl { /////////////////////////////////////////////////////////////////////////////// // pot_quantile_impl // /** @brief Quantile Estimation based on Peaks over Threshold Method (for both left and right tails) Computes an estimate \f[ \hat{q}_{\alpha} = \bar{u} + \frac{\bar{\beta}}{\xi}\left[(1-\alpha)^{-\xi}-1\right] \f] for a right or left extreme quantile, \f$\bar[u]\f$, \f$\bar{\beta}\f$ and \f$\xi\f$ being the parameters of the generalized Pareto distribution that approximates the right tail of the distribution (or the mirrored left tail, in case the left tail is used). In the latter case, the result is mirrored back, yielding the correct result. */ template struct pot_quantile_impl : accumulator_base { typedef typename numeric::functional::fdiv::result_type float_type; // for boost::result_of typedef float_type result_type; pot_quantile_impl(dont_care) : sign_((is_same::value) ? -1 : 1) { } template result_type result(Args const &args) const { typedef typename mpl::if_< is_same , tag::weighted_peaks_over_threshold , tag::peaks_over_threshold >::type peaks_over_threshold_tag; extractor const some_peaks_over_threshold = {}; float_type u_bar = some_peaks_over_threshold(args).template get<0>(); float_type beta_bar = some_peaks_over_threshold(args).template get<1>(); float_type xi_hat = some_peaks_over_threshold(args).template get<2>(); return this->sign_ * (u_bar + beta_bar/xi_hat * ( std::pow( is_same::value ? args[quantile_probability] : 1. - args[quantile_probability] , -xi_hat ) - 1.)); } // make this accumulator serializeable template void serialize(Archive & ar, const unsigned int file_version) { ar & sign_; } private: short sign_; // if the fit parameters from the mirrored left tail extreme values are used, mirror back the result }; } // namespace impl /////////////////////////////////////////////////////////////////////////////// // tag::pot_quantile<> // tag::pot_quantile_prob<> // tag::weighted_pot_quantile<> // tag::weighted_pot_quantile_prob<> // namespace tag { template struct pot_quantile : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct pot_quantile_prob : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct weighted_pot_quantile : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; template struct weighted_pot_quantile_prob : depends_on > { /// INTERNAL ONLY /// typedef accumulators::impl::pot_quantile_impl impl; }; } // pot_quantile(with_threshold_value) -> pot_quantile template struct as_feature(with_threshold_value)> { typedef tag::pot_quantile type; }; // pot_quantile(with_threshold_probability) -> pot_quantile_prob template struct as_feature(with_threshold_probability)> { typedef tag::pot_quantile_prob type; }; // weighted_pot_quantile(with_threshold_value) -> weighted_pot_quantile template struct as_feature(with_threshold_value)> { typedef tag::weighted_pot_quantile type; }; // weighted_pot_quantile(with_threshold_probability) -> weighted_pot_quantile_prob template struct as_feature(with_threshold_probability)> { typedef tag::weighted_pot_quantile_prob type; }; // for the purposes of feature-based dependency resolution, // pot_quantile and pot_quantile_prob provide // the same feature as quantile template struct feature_of > : feature_of { }; template struct feature_of > : feature_of { }; // So that pot_quantile can be automatically substituted // with weighted_pot_quantile when the weight parameter is non-void. template struct as_weighted_feature > { typedef tag::weighted_pot_quantile type; }; template struct feature_of > : feature_of > { }; // So that pot_quantile_prob can be automatically substituted // with weighted_pot_quantile_prob when the weight parameter is non-void. template struct as_weighted_feature > { typedef tag::weighted_pot_quantile_prob type; }; template struct feature_of > : feature_of > { }; }} // namespace boost::accumulators #endif