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_variate_means.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/variates/covariate.hpp>
16 #include <boost/accumulators/statistics/stats.hpp>
17 #include <boost/accumulators/statistics/tail_variate_means.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 std::size_t c = 5; // cache size
29
30 typedef double variate_type;
31 typedef std::vector<variate_type> variate_set_type;
32
33 typedef accumulator_set<double, stats<tag::tail_variate_means<right, variate_set_type, tag::covariate1>(relative)> > accumulator_t1;
34 typedef accumulator_set<double, stats<tag::tail_variate_means<right, variate_set_type, tag::covariate1>(absolute)> > accumulator_t2;
35 typedef accumulator_set<double, stats<tag::tail_variate_means<left, variate_set_type, tag::covariate1>(relative)> > accumulator_t3;
36 typedef accumulator_set<double, stats<tag::tail_variate_means<left, variate_set_type, tag::covariate1>(absolute)> > accumulator_t4;
37
38 accumulator_t1 acc1( right_tail_cache_size = c );
39 accumulator_t2 acc2( right_tail_cache_size = c );
40 accumulator_t3 acc3( left_tail_cache_size = c );
41 accumulator_t4 acc4( left_tail_cache_size = c );
42
43 variate_set_type cov1, cov2, cov3, cov4, cov5;
44 double c1[] = { 10., 20., 30., 40. }; // 100
45 double c2[] = { 26., 4., 17., 3. }; // 50
46 double c3[] = { 46., 64., 40., 50. }; // 200
47 double c4[] = { 1., 3., 70., 6. }; // 80
48 double c5[] = { 2., 2., 2., 14. }; // 20
49 cov1.assign(c1, c1 + sizeof(c1)/sizeof(variate_type));
50 cov2.assign(c2, c2 + sizeof(c2)/sizeof(variate_type));
51 cov3.assign(c3, c3 + sizeof(c3)/sizeof(variate_type));
52 cov4.assign(c4, c4 + sizeof(c4)/sizeof(variate_type));
53 cov5.assign(c5, c5 + sizeof(c5)/sizeof(variate_type));
54
55 acc1(100., covariate1 = cov1);
56 acc1( 50., covariate1 = cov2);
57 acc1(200., covariate1 = cov3);
58 acc1( 80., covariate1 = cov4);
59 acc1( 20., covariate1 = cov5);
60
61 acc2(100., covariate1 = cov1);
62 acc2( 50., covariate1 = cov2);
63 acc2(200., covariate1 = cov3);
64 acc2( 80., covariate1 = cov4);
65 acc2( 20., covariate1 = cov5);
66
67 acc3(100., covariate1 = cov1);
68 acc3( 50., covariate1 = cov2);
69 acc3(200., covariate1 = cov3);
70 acc3( 80., covariate1 = cov4);
71 acc3( 20., covariate1 = cov5);
72
73 acc4(100., covariate1 = cov1);
74 acc4( 50., covariate1 = cov2);
75 acc4(200., covariate1 = cov3);
76 acc4( 80., covariate1 = cov4);
77 acc4( 20., covariate1 = cov5);
78
79 // check relative risk contributions
80 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.7).begin() ), 14./75. ); // (10 + 46) / 300 = 14/75
81 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.7).begin() + 1), 7./25. ); // (20 + 64) / 300 = 7/25
82 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.7).begin() + 2), 7./30. ); // (30 + 40) / 300 = 7/30
83 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.7).begin() + 3), 3./10. ); // (40 + 50) / 300 = 3/10
84 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.3).begin() ), 14./35. ); // (26 + 2) / 70 = 14/35
85 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.3).begin() + 1), 3./35. ); // ( 4 + 2) / 70 = 3/35
86 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.3).begin() + 2), 19./70. ); // (17 + 2) / 70 = 19/70
87 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.3).begin() + 3), 17./70. ); // ( 3 + 14) / 70 = 17/70
88
89 // check absolute risk contributions
90 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.7).begin() ), 28 ); // (10 + 46) / 2 = 28
91 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.7).begin() + 1), 42 ); // (20 + 64) / 2 = 42
92 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.7).begin() + 2), 35 ); // (30 + 40) / 2 = 35
93 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.7).begin() + 3), 45 ); // (40 + 50) / 2 = 45
94 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.3).begin() ), 14 ); // (26 + 2) / 2 = 14
95 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.3).begin() + 1), 3 ); // ( 4 + 2) / 2 = 3
96 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.3).begin() + 2),9.5 ); // (17 + 2) / 2 = 9.5
97 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.3).begin() + 3),8.5 ); // ( 3 + 14) / 2 = 8.5
98
99 // check relative risk contributions
100 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.9).begin() ), 23./100. ); // 46/200 = 23/100
101 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.9).begin() + 1), 8./25. ); // 64/200 = 8/25
102 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.9).begin() + 2), 1./5. ); // 40/200 = 1/5
103 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc1, quantile_probability = 0.9).begin() + 3), 1./4. ); // 50/200 = 1/4
104 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.1).begin() ), 1./10. ); // 2/ 20 = 1/10
105 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.1).begin() + 1), 1./10. ); // 2/ 20 = 1/10
106 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.1).begin() + 2), 1./10. ); // 2/ 20 = 1/10
107 BOOST_CHECK_EQUAL( *(relative_tail_variate_means(acc3, quantile_probability = 0.1).begin() + 3), 7./10. ); // 14/ 20 = 7/10
108
109 // check absolute risk contributions
110 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.9).begin() ), 46 ); // 46
111 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.9).begin() + 1), 64 ); // 64
112 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.9).begin() + 2), 40 ); // 40
113 BOOST_CHECK_EQUAL( *(tail_variate_means(acc2, quantile_probability = 0.9).begin() + 3), 50 ); // 50
114 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.1).begin() ), 2 ); // 2
115 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.1).begin() + 1), 2 ); // 2
116 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.1).begin() + 2), 2 ); // 2
117 BOOST_CHECK_EQUAL( *(tail_variate_means(acc4, quantile_probability = 0.1).begin() + 3), 14 ); // 14
118 }
119
120 ///////////////////////////////////////////////////////////////////////////////
121 // init_unit_test_suite
122 //
init_unit_test_suite(int argc,char * argv[])123 test_suite* init_unit_test_suite( int argc, char* argv[] )
124 {
125 test_suite *test = BOOST_TEST_SUITE("tail_variate_means test");
126
127 test->add(BOOST_TEST_CASE(&test_stat));
128
129 return test;
130 }
131
132