| // (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 weighted_p_square_quantile.hpp |
| |
| #include <cmath> // for std::exp() |
| #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/weighted_p_square_quantile.hpp> |
| |
| using namespace boost; |
| using namespace unit_test; |
| using namespace boost::accumulators; |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // test_stat |
| // |
| void test_stat() |
| { |
| typedef accumulator_set<double, stats<tag::weighted_p_square_quantile>, double> accumulator_t; |
| |
| // tolerance in % |
| double epsilon = 1; |
| |
| // some random number generators |
| double mu4 = -1.0; |
| double mu5 = -1.0; |
| double mu6 = 1.0; |
| double mu7 = 1.0; |
| boost::lagged_fibonacci607 rng; |
| boost::normal_distribution<> mean_sigma4(mu4, 1); |
| boost::normal_distribution<> mean_sigma5(mu5, 1); |
| boost::normal_distribution<> mean_sigma6(mu6, 1); |
| boost::normal_distribution<> mean_sigma7(mu7, 1); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal4(rng, mean_sigma4); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal5(rng, mean_sigma5); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal6(rng, mean_sigma6); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal7(rng, mean_sigma7); |
| |
| accumulator_t acc0(quantile_probability = 0.001); |
| accumulator_t acc1(quantile_probability = 0.025); |
| accumulator_t acc2(quantile_probability = 0.975); |
| accumulator_t acc3(quantile_probability = 0.999); |
| |
| accumulator_t acc4(quantile_probability = 0.001); |
| accumulator_t acc5(quantile_probability = 0.025); |
| accumulator_t acc6(quantile_probability = 0.975); |
| accumulator_t acc7(quantile_probability = 0.999); |
| |
| |
| for (std::size_t i=0; i<100000; ++i) |
| { |
| double sample = rng(); |
| acc0(sample, weight = 1.); |
| acc1(sample, weight = 1.); |
| acc2(sample, weight = 1.); |
| acc3(sample, weight = 1.); |
| |
| double sample4 = normal4(); |
| double sample5 = normal5(); |
| double sample6 = normal6(); |
| double sample7 = normal7(); |
| acc4(sample4, weight = std::exp(-mu4 * (sample4 - 0.5 * mu4))); |
| acc5(sample5, weight = std::exp(-mu5 * (sample5 - 0.5 * mu5))); |
| acc6(sample6, weight = std::exp(-mu6 * (sample6 - 0.5 * mu6))); |
| acc7(sample7, weight = std::exp(-mu7 * (sample7 - 0.5 * mu7))); |
| } |
| // check for uniform distribution with weight = 1 |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc0), 0.001, 15 ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc1), 0.025, 5 ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc2), 0.975, epsilon ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc3), 0.999, epsilon ); |
| |
| // check for shifted standard normal distribution ("importance sampling") |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc4), -3.090232, epsilon ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc5), -1.959963, epsilon ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc6), 1.959963, epsilon ); |
| BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc7), 3.090232, epsilon ); |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // init_unit_test_suite |
| // |
| test_suite* init_unit_test_suite( int argc, char* argv[] ) |
| { |
| test_suite *test = BOOST_TEST_SUITE("weighted_p_square_quantile test"); |
| |
| test->add(BOOST_TEST_CASE(&test_stat)); |
| |
| return test; |
| } |
| |