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