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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 (weighted feature)
#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>
using namespace boost;
using namespace unit_test;
using namespace boost::accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// tolerance in %
double epsilon = 1.;
double mu1, mu2, l;
mu1 = 1.;
mu2 = -1.;
l = 0.5;
// two random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma1(mu1,1);
boost::normal_distribution<> mean_sigma2(mu2,1);
boost::exponential_distribution<> lambda(l);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2);
boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc1(
pot_threshold_value = 3.
);
accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc2(
right_tail_cache_size = 10000
, pot_threshold_probability = 0.99
);
accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_value)>, double > acc3(
pot_threshold_value = -3.
);
accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_probability)>, double > acc4(
left_tail_cache_size = 10000
, pot_threshold_probability = 0.01
);
accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc5(
pot_threshold_value = 5.
);
accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc6(
right_tail_cache_size = 10000
, pot_threshold_probability = 0.995
);
for (std::size_t i = 0; i < 100000; ++i)
{
double sample1 = normal1();
double sample2 = normal2();
acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
acc2(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
acc3(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
acc4(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
}
for (std::size_t i = 0; i < 100000; ++i)
{
double sample = exponential();
acc5(sample, weight = 1./l * std::exp(-sample * (1. - l)));
acc6(sample, weight = 1./l * std::exp(-sample * (1. - l)));
}
BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, epsilon );
BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, epsilon );
BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, epsilon );
BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, epsilon );
BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("weighted_pot_quantile test");
test->add(BOOST_TEST_CASE(&test_stat));
return test;
}
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