1 // (C) Copyright 2006 Eric Niebler, Olivier Gygi.
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 tail_quantile.hpp
7
8 #include <boost/random.hpp>
9 #include <boost/test/unit_test.hpp>
10 #include <boost/test/floating_point_comparison.hpp>
11 #include <boost/accumulators/numeric/functional/vector.hpp>
12 #include <boost/accumulators/numeric/functional/complex.hpp>
13 #include <boost/accumulators/numeric/functional/valarray.hpp>
14 #include <boost/accumulators/accumulators.hpp>
15 #include <boost/accumulators/statistics/stats.hpp>
16 #include <boost/accumulators/statistics/tail_quantile.hpp>
17
18 using namespace boost;
19 using namespace unit_test;
20 using namespace boost::accumulators;
21
22 ///////////////////////////////////////////////////////////////////////////////
23 // test_stat
24 //
test_stat()25 void test_stat()
26 {
27 // tolerance in %
28 double epsilon = 1;
29
30 std::size_t n = 100000; // number of MC steps
31 std::size_t c = 10000; // cache size
32
33 typedef accumulator_set<double, stats<tag::tail_quantile<right> > > accumulator_t_right;
34 typedef accumulator_set<double, stats<tag::tail_quantile<left> > > accumulator_t_left;
35
36 accumulator_t_right acc0( right_tail_cache_size = c );
37 accumulator_t_right acc1( right_tail_cache_size = c );
38 accumulator_t_left acc2( left_tail_cache_size = c );
39 accumulator_t_left acc3( left_tail_cache_size = c );
40
41 // two random number generators
42 boost::lagged_fibonacci607 rng;
43 boost::normal_distribution<> mean_sigma(0,1);
44 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
45
46 for (std::size_t i = 0; i < n; ++i)
47 {
48 double sample1 = rng();
49 double sample2 = normal();
50 acc0(sample1);
51 acc1(sample2);
52 acc2(sample1);
53 acc3(sample2);
54 }
55
56 // check uniform distribution
57 BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.95 ), 0.95, epsilon );
58 BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.975), 0.975, epsilon );
59 BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.99 ), 0.99, epsilon );
60 BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.999), 0.999, epsilon );
61 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.05 ), 0.05, 4*epsilon );
62 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), 0.025, 5*epsilon );
63 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.01 ), 0.01, 7*epsilon );
64 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), 0.001, 22*epsilon );
65
66 // check standard normal distribution
67 BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975), 1.959963, epsilon );
68 BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
69 BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.025), -1.959963, 2*epsilon );
70 BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 3*epsilon );
71
72 }
73
74 ///////////////////////////////////////////////////////////////////////////////
75 // init_unit_test_suite
76 //
init_unit_test_suite(int argc,char * argv[])77 test_suite* init_unit_test_suite( int argc, char* argv[] )
78 {
79 test_suite *test = BOOST_TEST_SUITE("tail_quantile test");
80
81 test->add(BOOST_TEST_CASE(&test_stat));
82
83 return test;
84 }
85
86