115 lines
3.5 KiB
C++
115 lines
3.5 KiB
C++
///////////////////////////////////////////////////////////////////////////////
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// skewness.hpp
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//
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// Copyright 2006 Olivier Gygi, Daniel Egloff. Distributed under the Boost
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// 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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#ifndef BOOST_ACCUMULATORS_STATISTICS_SKEWNESS_HPP_EAN_28_10_2005
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#define BOOST_ACCUMULATORS_STATISTICS_SKEWNESS_HPP_EAN_28_10_2005
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#include <limits>
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#include <boost/mpl/placeholders.hpp>
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#include <boost/accumulators/framework/accumulator_base.hpp>
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#include <boost/accumulators/framework/extractor.hpp>
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#include <boost/accumulators/framework/parameters/sample.hpp>
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#include <boost/accumulators/numeric/functional.hpp>
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#include <boost/accumulators/framework/depends_on.hpp>
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#include <boost/accumulators/statistics_fwd.hpp>
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#include <boost/accumulators/statistics/moment.hpp>
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#include <boost/accumulators/statistics/mean.hpp>
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namespace boost { namespace accumulators
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{
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namespace impl
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{
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///////////////////////////////////////////////////////////////////////////////
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// skewness_impl
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/**
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@brief Skewness estimation
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The skewness of a sample distribution is defined as the ratio of the 3rd central moment and the \f$ 3/2 \f$-th power
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of the 2nd central moment (the variance) of the samples 3. The skewness can also be expressed by the simple moments:
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\f[
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\hat{g}_1 =
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\frac
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{\widehat{m}_n^{(3)}-3\widehat{m}_n^{(2)}\hat{\mu}_n+2\hat{\mu}_n^3}
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{\left(\widehat{m}_n^{(2)} - \hat{\mu}_n^{2}\right)^{3/2}}
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\f]
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where \f$ \widehat{m}_n^{(i)} \f$ are the \f$ i \f$-th moment and \f$ \hat{\mu}_n \f$ the mean (first moment) of the
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\f$ n \f$ samples.
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*/
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template<typename Sample>
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struct skewness_impl
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: accumulator_base
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{
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// for boost::result_of
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typedef typename numeric::functional::fdiv<Sample, Sample>::result_type result_type;
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skewness_impl(dont_care)
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{
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}
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template<typename Args>
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result_type result(Args const &args) const
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{
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return numeric::fdiv(
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accumulators::moment<3>(args)
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- 3. * accumulators::moment<2>(args) * mean(args)
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+ 2. * mean(args) * mean(args) * mean(args)
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, ( accumulators::moment<2>(args) - mean(args) * mean(args) )
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* std::sqrt( accumulators::moment<2>(args) - mean(args) * mean(args) )
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);
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}
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};
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} // namespace impl
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///////////////////////////////////////////////////////////////////////////////
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// tag::skewness
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//
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namespace tag
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{
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struct skewness
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: depends_on<mean, moment<2>, moment<3> >
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::skewness_impl<mpl::_1> impl;
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};
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}
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///////////////////////////////////////////////////////////////////////////////
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// extract::skewness
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//
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namespace extract
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{
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extractor<tag::skewness> const skewness = {};
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BOOST_ACCUMULATORS_IGNORE_GLOBAL(skewness)
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}
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using extract::skewness;
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// So that skewness can be automatically substituted with
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// weighted_skewness when the weight parameter is non-void
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template<>
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struct as_weighted_feature<tag::skewness>
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{
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typedef tag::weighted_skewness type;
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};
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template<>
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struct feature_of<tag::weighted_skewness>
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: feature_of<tag::skewness>
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{
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};
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}} // namespace boost::accumulators
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#endif
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