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

Tail quantile estimation based on order statistics of weighted samples (for both left and right tails) More...

#include <statistics_fwd.hpp>

Inheritance diagram for boost::accumulators::impl::weighted_tail_quantile_impl< Sample, Weight, LeftRight >:
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Collaboration diagram for boost::accumulators::impl::weighted_tail_quantile_impl< Sample, Weight, LeftRight >:
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Public Types

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

Public Member Functions

 weighted_tail_quantile_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 Weight, typename LeftRight>
struct boost::accumulators::impl::weighted_tail_quantile_impl< Sample, Weight, LeftRight >

Tail quantile estimation based on order statistics of weighted samples (for both left and right tails)

An estimator $\hat{q}$ of tail quantiles with level $\alpha$ based on order statistics $X_{1:n} \leq X_{2:n} \leq\dots\leq X_{n:n}$ of weighted samples are given by $X_{\lambda:n}$ (left tail) and $X_{\rho:n}$ (right tail), where

\[ \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\} \]

and

\[ \rho = \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\}, \]

$n$ being the number of samples and $\bar{w}_n$ the sum of all weights.

Parameters
quantile_probability

Member Typedef Documentation

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

Constructor & Destructor Documentation

template<typename Sample , typename Weight , typename LeftRight >
boost::accumulators::impl::weighted_tail_quantile_impl< Sample, Weight, LeftRight >::weighted_tail_quantile_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 Weight , typename LeftRight >
template<typename Args >
result_type boost::accumulators::impl::weighted_tail_quantile_impl< Sample, Weight, LeftRight >::result ( Args const &  args) const
inline

References boost::asio::begin, boost::n, boost::size(), boost::accumulators::extract::sum, boost::accumulators::extract::sum_of_weights, boost::accumulators::extract::tail, boost::accumulators::extract::tail_weights, boost::throw_exception(), and boost::program_options::value().

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