1 | // (C) Copyright Eric Niebler 2005. |
2 | // Use, modification and distribution are subject to the |
3 | // Boost Software License, Version 1.0. (See accompanying file |
4 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
5 | |
6 | // Test case for pot_quantile.hpp |
7 | |
8 | #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT |
9 | #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT |
10 | #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT |
11 | |
12 | #include <boost/random.hpp> |
13 | #include <boost/test/unit_test.hpp> |
14 | #include <boost/test/floating_point_comparison.hpp> |
15 | #include <boost/accumulators/accumulators.hpp> |
16 | #include <boost/accumulators/statistics.hpp> |
17 | #include <boost/accumulators/statistics/peaks_over_threshold.hpp> |
18 | |
19 | using namespace boost; |
20 | using namespace unit_test; |
21 | using namespace boost::accumulators; |
22 | |
23 | /////////////////////////////////////////////////////////////////////////////// |
24 | // test_stat |
25 | // |
26 | void test_stat() |
27 | { |
28 | // tolerance in % |
29 | double epsilon = 1.; |
30 | |
31 | // two random number generators |
32 | boost::lagged_fibonacci607 rng; |
33 | boost::normal_distribution<> mean_sigma(0,1); |
34 | boost::exponential_distribution<> lambda(1); |
35 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma); |
36 | boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda); |
37 | |
38 | accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc1( |
39 | pot_threshold_value = 3. |
40 | ); |
41 | accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc2( |
42 | right_tail_cache_size = 2000 |
43 | , pot_threshold_probability = 0.99 |
44 | ); |
45 | accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_value)> > acc3( |
46 | pot_threshold_value = -3. |
47 | ); |
48 | accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_probability)> > acc4( |
49 | left_tail_cache_size = 2000 |
50 | , pot_threshold_probability = 0.01 |
51 | ); |
52 | |
53 | accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc5( |
54 | pot_threshold_value = 5. |
55 | ); |
56 | accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc6( |
57 | right_tail_cache_size = 2000 |
58 | , pot_threshold_probability = 0.995 |
59 | ); |
60 | |
61 | for (std::size_t i = 0; i < 100000; ++i) |
62 | { |
63 | double sample = normal(); |
64 | acc1(sample); |
65 | acc2(sample); |
66 | acc3(sample); |
67 | acc4(sample); |
68 | } |
69 | |
70 | for (std::size_t i = 0; i < 100000; ++i) |
71 | { |
72 | double sample = exponential(); |
73 | acc5(sample); |
74 | acc6(sample); |
75 | } |
76 | |
77 | BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon ); |
78 | BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, 2*epsilon ); |
79 | BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 2*epsilon ); |
80 | BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, 2*epsilon ); |
81 | |
82 | BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, 3*epsilon ); |
83 | BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, 3*epsilon ); |
84 | } |
85 | |
86 | /////////////////////////////////////////////////////////////////////////////// |
87 | // init_unit_test_suite |
88 | // |
89 | test_suite* init_unit_test_suite( int argc, char* argv[] ) |
90 | { |
91 | test_suite *test = BOOST_TEST_SUITE("pot_quantile test" ); |
92 | |
93 | test->add(BOOST_TEST_CASE(&test_stat)); |
94 | |
95 | return test; |
96 | } |
97 | |
98 | |