| 1 | /////////////////////////////////////////////////////////////////////////////// |
| 2 | // weighted_covariance.hpp |
| 3 | // |
| 4 | // Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost |
| 5 | // Software License, Version 1.0. (See accompanying file |
| 6 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
| 7 | |
| 8 | #ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_COVARIANCE_HPP_DE_01_01_2006 |
| 9 | #define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_COVARIANCE_HPP_DE_01_01_2006 |
| 10 | |
| 11 | #include <vector> |
| 12 | #include <limits> |
| 13 | #include <numeric> |
| 14 | #include <functional> |
| 15 | #include <complex> |
| 16 | #include <boost/mpl/assert.hpp> |
| 17 | #include <boost/mpl/bool.hpp> |
| 18 | #include <boost/range.hpp> |
| 19 | #include <boost/parameter/keyword.hpp> |
| 20 | #include <boost/mpl/placeholders.hpp> |
| 21 | #include <boost/numeric/ublas/io.hpp> |
| 22 | #include <boost/numeric/ublas/matrix.hpp> |
| 23 | #include <boost/type_traits/is_scalar.hpp> |
| 24 | #include <boost/type_traits/is_same.hpp> |
| 25 | #include <boost/accumulators/framework/accumulator_base.hpp> |
| 26 | #include <boost/accumulators/framework/extractor.hpp> |
| 27 | #include <boost/accumulators/numeric/functional.hpp> |
| 28 | #include <boost/accumulators/framework/parameters/sample.hpp> |
| 29 | #include <boost/accumulators/statistics_fwd.hpp> |
| 30 | #include <boost/accumulators/statistics/count.hpp> |
| 31 | #include <boost/accumulators/statistics/covariance.hpp> // for numeric::outer_product() and type traits |
| 32 | #include <boost/accumulators/statistics/weighted_mean.hpp> |
| 33 | |
| 34 | namespace boost { namespace accumulators |
| 35 | { |
| 36 | |
| 37 | namespace impl |
| 38 | { |
| 39 | /////////////////////////////////////////////////////////////////////////////// |
| 40 | // weighted_covariance_impl |
| 41 | // |
| 42 | /** |
| 43 | @brief Weighted Covariance Estimator |
| 44 | |
| 45 | An iterative Monte Carlo estimator for the weighted covariance \f$\mathrm{Cov}(X,X')\f$, where \f$X\f$ is a sample |
| 46 | and \f$X'\f$ a variate, is given by: |
| 47 | |
| 48 | \f[ |
| 49 | \hat{c}_n = \frac{\bar{w}_n-w_n}{\bar{w}_n} \hat{c}_{n-1} + \frac{w_n}{\bar{w}_n-w_n}(X_n - \hat{\mu}_n)(X_n' - \hat{\mu}_n'), |
| 50 | \quad n\ge2,\quad\hat{c}_1 = 0, |
| 51 | \f] |
| 52 | |
| 53 | \f$\hat{\mu}_n\f$ and \f$\hat{\mu}_n'\f$ being the weighted means of the samples and variates and |
| 54 | \f$\bar{w}_n\f$ the sum of the \f$n\f$ first weights \f$w_i\f$. |
| 55 | */ |
| 56 | template<typename Sample, typename Weight, typename VariateType, typename VariateTag> |
| 57 | struct weighted_covariance_impl |
| 58 | : accumulator_base |
| 59 | { |
| 60 | typedef typename numeric::functional::multiplies<Weight, typename numeric::functional::fdiv<Sample, std::size_t>::result_type>::result_type weighted_sample_type; |
| 61 | typedef typename numeric::functional::multiplies<Weight, typename numeric::functional::fdiv<VariateType, std::size_t>::result_type>::result_type weighted_variate_type; |
| 62 | // for boost::result_of |
| 63 | typedef typename numeric::functional::outer_product<weighted_sample_type, weighted_variate_type>::result_type result_type; |
| 64 | |
| 65 | template<typename Args> |
| 66 | weighted_covariance_impl(Args const &args) |
| 67 | : cov_( |
| 68 | numeric::outer_product( |
| 69 | numeric::fdiv(args[sample | Sample()], (std::size_t)1) |
| 70 | * numeric::one<Weight>::value |
| 71 | , numeric::fdiv(args[parameter::keyword<VariateTag>::get() | VariateType()], (std::size_t)1) |
| 72 | * numeric::one<Weight>::value |
| 73 | ) |
| 74 | ) |
| 75 | { |
| 76 | } |
| 77 | |
| 78 | template<typename Args> |
| 79 | void operator ()(Args const &args) |
| 80 | { |
| 81 | std::size_t cnt = count(args); |
| 82 | |
| 83 | if (cnt > 1) |
| 84 | { |
| 85 | extractor<tag::weighted_mean_of_variates<VariateType, VariateTag> > const some_weighted_mean_of_variates = {}; |
| 86 | |
| 87 | this->cov_ = this->cov_ * (sum_of_weights(args) - args[weight]) / sum_of_weights(args) |
| 88 | + numeric::outer_product( |
| 89 | some_weighted_mean_of_variates(args) - args[parameter::keyword<VariateTag>::get()] |
| 90 | , weighted_mean(args) - args[sample] |
| 91 | ) * args[weight] / (sum_of_weights(args) - args[weight]); |
| 92 | } |
| 93 | } |
| 94 | |
| 95 | result_type result(dont_care) const |
| 96 | { |
| 97 | return this->cov_; |
| 98 | } |
| 99 | |
| 100 | // make this accumulator serializeable |
| 101 | template<class Archive> |
| 102 | void serialize(Archive & ar, const unsigned int file_version) |
| 103 | { |
| 104 | ar & cov_; |
| 105 | } |
| 106 | |
| 107 | private: |
| 108 | result_type cov_; |
| 109 | }; |
| 110 | |
| 111 | } // namespace impl |
| 112 | |
| 113 | /////////////////////////////////////////////////////////////////////////////// |
| 114 | // tag::weighted_covariance |
| 115 | // |
| 116 | namespace tag |
| 117 | { |
| 118 | template<typename VariateType, typename VariateTag> |
| 119 | struct weighted_covariance |
| 120 | : depends_on<count, sum_of_weights, weighted_mean, weighted_mean_of_variates<VariateType, VariateTag> > |
| 121 | { |
| 122 | typedef accumulators::impl::weighted_covariance_impl<mpl::_1, mpl::_2, VariateType, VariateTag> impl; |
| 123 | }; |
| 124 | } |
| 125 | |
| 126 | /////////////////////////////////////////////////////////////////////////////// |
| 127 | // extract::weighted_covariance |
| 128 | // |
| 129 | namespace extract |
| 130 | { |
| 131 | extractor<tag::abstract_covariance> const = {}; |
| 132 | |
| 133 | BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_covariance) |
| 134 | } |
| 135 | |
| 136 | using extract::weighted_covariance; |
| 137 | |
| 138 | }} // namespace boost::accumulators |
| 139 | |
| 140 | #endif |
| 141 | |