101 lines
4.0 KiB
C++
101 lines
4.0 KiB
C++
// (C) Copyright Eric Niebler 2005.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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// Test case for weighted_p_square_quantile.hpp
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#include <cmath> // for std::exp()
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#include <boost/random.hpp>
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#include <boost/test/unit_test.hpp>
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#include <boost/test/floating_point_comparison.hpp>
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#include <boost/accumulators/numeric/functional/vector.hpp>
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#include <boost/accumulators/numeric/functional/complex.hpp>
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#include <boost/accumulators/numeric/functional/valarray.hpp>
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#include <boost/accumulators/accumulators.hpp>
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#include <boost/accumulators/statistics/stats.hpp>
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#include <boost/accumulators/statistics/weighted_p_square_quantile.hpp>
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using namespace boost;
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using namespace unit_test;
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using namespace boost::accumulators;
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///////////////////////////////////////////////////////////////////////////////
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// test_stat
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//
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void test_stat()
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{
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typedef accumulator_set<double, stats<tag::weighted_p_square_quantile>, double> accumulator_t;
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// tolerance in %
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double epsilon = 1;
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// some random number generators
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double mu4 = -1.0;
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double mu5 = -1.0;
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double mu6 = 1.0;
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double mu7 = 1.0;
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boost::lagged_fibonacci607 rng;
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boost::normal_distribution<> mean_sigma4(mu4, 1);
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boost::normal_distribution<> mean_sigma5(mu5, 1);
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boost::normal_distribution<> mean_sigma6(mu6, 1);
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boost::normal_distribution<> mean_sigma7(mu7, 1);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal4(rng, mean_sigma4);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal5(rng, mean_sigma5);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal6(rng, mean_sigma6);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal7(rng, mean_sigma7);
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accumulator_t acc0(quantile_probability = 0.001);
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accumulator_t acc1(quantile_probability = 0.025);
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accumulator_t acc2(quantile_probability = 0.975);
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accumulator_t acc3(quantile_probability = 0.999);
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accumulator_t acc4(quantile_probability = 0.001);
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accumulator_t acc5(quantile_probability = 0.025);
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accumulator_t acc6(quantile_probability = 0.975);
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accumulator_t acc7(quantile_probability = 0.999);
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for (std::size_t i=0; i<100000; ++i)
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{
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double sample = rng();
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acc0(sample, weight = 1.);
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acc1(sample, weight = 1.);
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acc2(sample, weight = 1.);
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acc3(sample, weight = 1.);
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double sample4 = normal4();
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double sample5 = normal5();
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double sample6 = normal6();
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double sample7 = normal7();
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acc4(sample4, weight = std::exp(-mu4 * (sample4 - 0.5 * mu4)));
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acc5(sample5, weight = std::exp(-mu5 * (sample5 - 0.5 * mu5)));
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acc6(sample6, weight = std::exp(-mu6 * (sample6 - 0.5 * mu6)));
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acc7(sample7, weight = std::exp(-mu7 * (sample7 - 0.5 * mu7)));
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}
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// check for uniform distribution with weight = 1
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc0), 0.001, 28 );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc1), 0.025, 5 );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc2), 0.975, epsilon );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc3), 0.999, epsilon );
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// check for shifted standard normal distribution ("importance sampling")
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc4), -3.090232, epsilon );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc5), -1.959963, epsilon );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc6), 1.959963, epsilon );
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BOOST_CHECK_CLOSE( weighted_p_square_quantile(acc7), 3.090232, epsilon );
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}
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///////////////////////////////////////////////////////////////////////////////
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// init_unit_test_suite
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//
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test_suite* init_unit_test_suite( int argc, char* argv[] )
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{
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test_suite *test = BOOST_TEST_SUITE("weighted_p_square_quantile test");
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test->add(BOOST_TEST_CASE(&test_stat));
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return test;
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}
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