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- // (C) Copyright 2006 Eric Niebler, Olivier Gygi.
- // 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 tail_quantile.hpp
- #include <boost/random.hpp>
- #include <boost/test/unit_test.hpp>
- #include <boost/test/floating_point_comparison.hpp>
- #include <boost/accumulators/numeric/functional/vector.hpp>
- #include <boost/accumulators/numeric/functional/complex.hpp>
- #include <boost/accumulators/numeric/functional/valarray.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics/stats.hpp>
- #include <boost/accumulators/statistics/tail_quantile.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace boost::accumulators;
- ///////////////////////////////////////////////////////////////////////////////
- // test_stat
- //
- void test_stat()
- {
- // tolerance in %
- double epsilon = 1;
- std::size_t n = 100000; // number of MC steps
- std::size_t c = 10000; // cache size
- typedef accumulator_set<double, stats<tag::tail_quantile<right> > > accumulator_t_right;
- typedef accumulator_set<double, stats<tag::tail_quantile<left> > > accumulator_t_left;
- accumulator_t_right acc0( right_tail_cache_size = c );
- accumulator_t_right acc1( right_tail_cache_size = c );
- accumulator_t_left acc2( left_tail_cache_size = c );
- accumulator_t_left acc3( left_tail_cache_size = c );
- // two 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);
- for (std::size_t i = 0; i < n; ++i)
- {
- double sample1 = rng();
- double sample2 = normal();
- acc0(sample1);
- acc1(sample2);
- acc2(sample1);
- acc3(sample2);
- }
- // check uniform distribution
- BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.95 ), 0.95, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.975), 0.975, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.99 ), 0.99, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.999), 0.999, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.05 ), 0.05, 4*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), 0.025, 5*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.01 ), 0.01, 7*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), 0.001, 22*epsilon );
- // check standard normal distribution
- BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975), 1.959963, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.025), -1.959963, 2*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 3*epsilon );
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("tail_quantile test");
- test->add(BOOST_TEST_CASE(&test_stat));
- return test;
- }
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