Boost  v1.57.0
doxygen for www.boost.org
 All Classes Namespaces Files Functions Variables Typedefs Enumerations Enumerator Friends Macros Modules Pages
Public Types | Public Member Functions | List of all members
boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag > Struct Template Reference

Estimation of the absolute and relative tail variate means (for both left and right tails) More...

#include <statistics_fwd.hpp>

Inheritance diagram for boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >:
Inheritance graph
[legend]
Collaboration diagram for boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >:
Collaboration graph
[legend]

Public Types

typedef
numeric::functional::fdiv
< Sample, std::size_t >
::result_type 		float_type
 
typedef std::vector< float_type > array_type
 
typedef iterator_range
< typename
array_type::iterator > 		result_type
 
typedef mpl::false_ is_droppable
 

Public Member Functions

 tail_variate_means_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 Impl, typename LeftRight, typename VariateTag>
struct boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >

Estimation of the absolute and relative tail variate means (for both left and right tails)

For all $j$-th variates associated to the $\lceil n(1-\alpha)\rceil$ largest samples (or the $\lceil n(1-\alpha)\rceil$ smallest samples in case of the left tail), the absolute tail means $\widehat{ATM}_{n,\alpha}(X, j)$ are computed and returned as an iterator range. Alternatively, the relative tail means $\widehat{RTM}_{n,\alpha}(X, j)$ are returned, which are the absolute tail means normalized with the (non-coherent) sample tail mean $\widehat{NCTM}_{n,\alpha}(X)$.

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

\[ \widehat{ATM}_{n,\alpha}^{\mathrm{left}}(X, j) = \frac{1}{\lceil n\alpha \rceil} \sum_{i=1}^{\lceil n\alpha \rceil} \xi_{j,i} \]

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

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

Member Typedef Documentation

template<typename Sample , typename Impl , typename LeftRight , typename VariateTag >
typedef std::vector<float_type> boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >::array_type
template<typename Sample , typename Impl , typename LeftRight , typename VariateTag >
typedef numeric::functional::fdiv<Sample, std::size_t>::result_type boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >::float_type
typedef mpl::false_ boost::accumulators::accumulator_base::is_droppable
inherited
template<typename Sample , typename Impl , typename LeftRight , typename VariateTag >
typedef iterator_range<typename array_type::iterator> boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >::result_type

Constructor & Destructor Documentation

template<typename Sample , typename Impl , typename LeftRight , typename VariateTag >
boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >::tail_variate_means_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 Impl , typename LeftRight , typename VariateTag >
template<typename Args >
result_type boost::accumulators::impl::tail_variate_means_impl< Sample, Impl, LeftRight, VariateTag >::result ( Args const &  args) const
inline

References boost::fusion::accumulate(), boost::asio::begin, boost::bind2nd(), boost::chrono::ceil(), count, std::fill(), boost::make_iterator_range(), boost::n, boost::accumulators::extract::non_coherent_tail_mean, boost::size(), boost::accumulators::extract::tail, boost::accumulators::extract::tail_variate, boost::throw_exception(), boost::fusion::transform(), and boost::program_options::value().

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