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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 weighted_tail_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/floating_point_comparison.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics.hpp>
- #include <boost/accumulators/statistics/weighted_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 = 20000; // cache size
- double mu1 = 1.0;
- double mu2 = -1.0;
- boost::lagged_fibonacci607 rng;
- boost::normal_distribution<> mean_sigma1(mu1,1);
- boost::normal_distribution<> mean_sigma2(mu2,1);
- 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);
- accumulator_set<double, stats<tag::weighted_tail_quantile<right> >, double>
- acc1(right_tail_cache_size = c);
- accumulator_set<double, stats<tag::weighted_tail_quantile<left> >, double>
- acc2(left_tail_cache_size = c);
- for (std::size_t i = 0; i < n; ++i)
- {
- double sample1 = normal1();
- double sample2 = normal2();
- acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
- acc2(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
- }
- // 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, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), -1.959963, epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), -3.090232, epsilon );
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("weighted_tail_quantile test");
- test->add(BOOST_TEST_CASE(&test_stat));
- return test;
- }
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