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boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight > Struct Template Reference

Estimation of the (non-coherent) tail mean based on order statistics (for both left and right tails) More...

#include <statistics_fwd.hpp>

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Public Types

typedef
numeric::functional::fdiv
< Sample, std::size_t >
::result_type 		float_type
 
typedef float_type result_type
 
typedef mpl::false_ is_droppable
 

Public Member Functions

 non_coherent_tail_mean_impl (dont_care)
 
template<typename Args >
result_type result (Args const &args) const
 
detail::void_ operator() (dont_care)
 
detail::void_ add_ref (dont_care)
 
detail::void_ drop (dont_care)
 
detail::void_ on_drop (dont_care)
 

Detailed Description

template<typename Sample, typename LeftRight>
struct boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight >

Estimation of the (non-coherent) tail mean based on order statistics (for both left and right tails)

An estimation of the non-coherent tail mean $\widehat{NCTM}_{n,\alpha}(X)$ is given by the mean of the $\lceil n\alpha\rceil$ smallest samples (left tail) or the mean of the $\lceil n(1-\alpha)\rceil$ largest samples (right tail), $n$ being the total number of samples and $\alpha$ the quantile level:

\[ \widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X) = \frac{1}{\lceil n(1-\alpha)\rceil} \sum_{i=\lceil \alpha n \rceil}^n X_{i:n} \]

\[ \widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X) = \frac{1}{\lceil n\alpha\rceil} \sum_{i=1}^{\lceil \alpha n \rceil} X_{i:n} \]

It thus requires the caching of at least the $\lceil n\alpha\rceil$ smallest or the $\lceil n(1-\alpha)\rceil$ largest samples.

Parameters
quantile_probability

Member Typedef Documentation

template<typename Sample , typename LeftRight >
typedef numeric::functional::fdiv<Sample, std::size_t>::result_type boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight >::float_type
typedef mpl::false_ boost::accumulators::accumulator_base::is_droppable
inherited
template<typename Sample , typename LeftRight >
typedef float_type boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight >::result_type

Constructor & Destructor Documentation

template<typename Sample , typename LeftRight >
boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight >::non_coherent_tail_mean_impl ( dont_care  )
inline

Member Function Documentation

detail::void_ boost::accumulators::accumulator_base::add_ref ( dont_care  )
inlineinherited
detail::void_ boost::accumulators::accumulator_base::drop ( dont_care  )
inlineinherited
detail::void_ boost::accumulators::accumulator_base::on_drop ( dont_care  )
inlineinherited
detail::void_ boost::accumulators::accumulator_base::operator() ( dont_care  )
inlineinherited
template<typename Sample , typename LeftRight >
template<typename Args >
result_type boost::accumulators::impl::non_coherent_tail_mean_impl< Sample, LeftRight >::result ( Args const &  args) const
inline

References boost::fusion::accumulate(), boost::asio::begin, boost::chrono::ceil(), count, boost::n, boost::size(), boost::accumulators::extract::tail, boost::throw_exception(), and boost::program_options::value().

The documentation for this struct was generated from the following file: