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// (C) Copyright Eric Niebler 2005.
// Use, modification and distribution are subject to 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)
// Test case for pot_quantile.hpp
#define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
#include <boost/random.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/tools/floating_point_comparison.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics.hpp>
#include <boost/accumulators/statistics/peaks_over_threshold.hpp>
#include <sstream>
#include <boost/archive/text_oarchive.hpp>
#include <boost/archive/text_iarchive.hpp>
using namespace boost;
using namespace unit_test;
using namespace boost::accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// tolerance in %
double epsilon = 1.;
// two random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma(0,1);
boost::exponential_distribution<> lambda(1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc1(
pot_threshold_value = 3.
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc2(
right_tail_cache_size = 2000
, pot_threshold_probability = 0.99
);
accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_value)> > acc3(
pot_threshold_value = -3.
);
accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_probability)> > acc4(
left_tail_cache_size = 2000
, pot_threshold_probability = 0.01
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc5(
pot_threshold_value = 5.
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc6(
right_tail_cache_size = 2000
, pot_threshold_probability = 0.995
);
for (std::size_t i = 0; i < 100000; ++i)
{
double sample = normal();
acc1(sample);
acc2(sample);
acc3(sample);
acc4(sample);
}
for (std::size_t i = 0; i < 100000; ++i)
{
double sample = exponential();
acc5(sample);
acc6(sample);
}
BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, 3*epsilon );
BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, 3*epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// test_persistency
//
void test_persistency()
{
// tolerance in %
double epsilon = 1.;
// "persistent" storage
std::stringstream ss;
{
// random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma(0,1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
for (std::size_t i = 0; i < 100000; ++i)
acc(normal());
BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
boost::archive::text_oarchive oa(ss);
acc.serialize(oa, 0);
}
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
boost::archive::text_iarchive ia(ss);
acc.serialize(ia, 0);
BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("pot_quantile test");
test->add(BOOST_TEST_CASE(&test_stat));
test->add(BOOST_TEST_CASE(&test_persistency));
return test;
}
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