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 weighted_p_square_quantile.hpp 7 8 #include <cmath> // for std::exp() 9 #include <boost/random.hpp> 10 #include <boost/test/unit_test.hpp> 11 #include <boost/test/floating_point_comparison.hpp> 12 #include <boost/accumulators/numeric/functional/vector.hpp> 13 #include <boost/accumulators/numeric/functional/complex.hpp> 14 #include <boost/accumulators/numeric/functional/valarray.hpp> 15 #include <boost/accumulators/accumulators.hpp> 16 #include <boost/accumulators/statistics/stats.hpp> 17 #include <boost/accumulators/statistics/weighted_p_square_quantile.hpp> 18 19 using namespace boost; 20 using namespace unit_test; 21 using namespace boost::accumulators; 22 23 /////////////////////////////////////////////////////////////////////////////// 24 // test_stat 25 // test_stat()26 void test_stat() 27 { 28 typedef accumulator_set<double, stats<tag::weighted_p_square_quantile>, double> accumulator_t; 29 30 // tolerance in % 31 double epsilon = 1; 32 33 // some random number generators 34 double mu4 = -1.0; 35 double mu5 = -1.0; 36 double mu6 = 1.0; 37 double mu7 = 1.0; 38 boost::lagged_fibonacci607 rng; 39 boost::normal_distribution<> mean_sigma4(mu4, 1); 40 boost::normal_distribution<> mean_sigma5(mu5, 1); 41 boost::normal_distribution<> mean_sigma6(mu6, 1); 42 boost::normal_distribution<> mean_sigma7(mu7, 1); 43 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal4(rng, mean_sigma4); 44 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal5(rng, mean_sigma5); 45 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal6(rng, mean_sigma6); 46 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal7(rng, mean_sigma7); 47 48 accumulator_t acc0(quantile_probability = 0.001); 49 accumulator_t acc1(quantile_probability = 0.025); 50 accumulator_t acc2(quantile_probability = 0.975); 51 accumulator_t acc3(quantile_probability = 0.999); 52 53 accumulator_t acc4(quantile_probability = 0.001); 54 accumulator_t acc5(quantile_probability = 0.025); 55 accumulator_t acc6(quantile_probability = 0.975); 56 accumulator_t acc7(quantile_probability = 0.999); 57 58 59 for (std::size_t i=0; i<100000; ++i) 60 { 61 double sample = rng(); 62 acc0(sample, weight = 1.); 63 acc1(sample, weight = 1.); 64 acc2(sample, weight = 1.); 65 acc3(sample, weight = 1.); 66 67 double sample4 = normal4(); 68 double sample5 = normal5(); 69 double sample6 = normal6(); 70 double sample7 = normal7(); 71 acc4(sample4, weight = std::exp(-mu4 * (sample4 - 0.5 * mu4))); 72 acc5(sample5, weight = std::exp(-mu5 * (sample5 - 0.5 * mu5))); 73 acc6(sample6, weight = std::exp(-mu6 * (sample6 - 0.5 * mu6))); 74 acc7(sample7, weight = std::exp(-mu7 * (sample7 - 0.5 * mu7))); 75 } 76 // check for uniform distribution with weight = 1 77 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc0), 0.001, 28 ); 78 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc1), 0.025, 5 ); 79 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc2), 0.975, epsilon ); 80 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc3), 0.999, epsilon ); 81 82 // check for shifted standard normal distribution ("importance sampling") 83 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc4), -3.090232, epsilon ); 84 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc5), -1.959963, epsilon ); 85 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc6), 1.959963, epsilon ); 86 BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc7), 3.090232, epsilon ); 87 } 88 89 /////////////////////////////////////////////////////////////////////////////// 90 // init_unit_test_suite 91 // init_unit_test_suite(int argc,char * argv[])92 test_suite* init_unit_test_suite( int argc, char* argv[] ) 93 { 94 test_suite *test = BOOST_TEST_SUITE("weighted_p_square_quantile test"); 95 96 test->add(BOOST_TEST_CASE(&test_stat)); 97 98 return test; 99 } 100 101