1 files changed, 144 insertions, 0 deletions
diff --git a/doc/test/weighted_tail_quantile.hpp b/doc/test/weighted_tail_quantile.hpp
new file mode 100644
index 0000000000..997ac3a21b
--- /dev/null
+++ b/doc/test/weighted_tail_quantile.hpp
@@ -0,0 +1,144 @@
+///////////////////////////////////////////////////////////////////////////////
+// weighted_tail_quantile.hpp
+//
+//  Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost
+//  Software License, Version 1.0. (See accompanying file
+//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_QUANTILE_HPP_DE_01_01_2006
+#define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_QUANTILE_HPP_DE_01_01_2006
+
+#include <vector>
+#include <limits>
+#include <functional>
+#include <sstream>
+#include <stdexcept>
+#include <boost/throw_exception.hpp>
+#include <boost/parameter/keyword.hpp>
+#include <boost/mpl/placeholders.hpp>
+#include <boost/mpl/if.hpp>
+#include <boost/type_traits/is_same.hpp>
+#include <boost/accumulators/numeric/functional.hpp>
+#include <boost/accumulators/framework/depends_on.hpp>
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/tail.hpp>
+#include <boost/accumulators/statistics/tail_quantile.hpp>
+#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
+
+#ifdef _MSC_VER
+# pragma warning(push)
+# pragma warning(disable: 4127) // conditional expression is constant
+#endif
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+    ///////////////////////////////////////////////////////////////////////////////
+    // weighted_tail_quantile_impl
+    //  Tail quantile estimation based on order statistics of weighted samples
+    /**
+        @brief Tail quantile estimation based on order statistics of weighted samples (for both left and right tails)
+
+        An estimator \f$\hat{q}\f$ of tail quantiles with level \f$\alpha\f$ based on order statistics
+        \f$X_{1:n} \leq X_{2:n} \leq\dots\leq X_{n:n}\f$ of weighted samples are given by \f$X_{\lambda:n}\f$ (left tail)
+        and \f$X_{\rho:n}\f$ (right tail), where
+
+            \f[
+                \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\}
+            \f]
+
+        and
+
+            \f[
+                \rho = \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\},
+            \f]
+
+        \f$n\f$ being the number of samples and \f$\bar{w}_n\f$ the sum of all weights.
+
+        @param quantile_probability
+    */
+    template<typename Sample, typename Weight, typename LeftRight>
+    struct weighted_tail_quantile_impl
+      : accumulator_base
+    {
+        typedef typename numeric::functional::average<Weight, std::size_t>::result_type float_type;
+        // for boost::result_of
+        typedef Sample result_type;
+
+        weighted_tail_quantile_impl(dont_care) {}
+
+        template<typename Args>
+        result_type result(Args const &args) const
+        {
+            float_type threshold = sum_of_weights(args)
+                             * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] );
+
+            std::size_t n = 0;
+            Weight sum = Weight(0);
+
+            while (sum < threshold)
+            {
+                if (n < static_cast<std::size_t>(tail_weights(args).size()))
+                {
+                    sum += *(tail_weights(args).begin() + n);
+                    n++;
+                }
+                else
+                {
+                    if (std::numeric_limits<result_type>::has_quiet_NaN)
+                    {
+                        return std::numeric_limits<result_type>::quiet_NaN();
+                    }
+                    else
+                    {
+                        std::ostringstream msg;
+                        msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
+                        boost::throw_exception(std::runtime_error(msg.str()));
+                        return Sample(0);
+                    }
+                }
+            }
+
+            // Note that the cached samples of the left are sorted in ascending order,
+            // whereas the samples of the right tail are sorted in descending order
+            return *(boost::begin(tail(args)) + n - 1);
+        }
+    };
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::weighted_tail_quantile<>
+//
+namespace tag
+{
+    template<typename LeftRight>
+    struct weighted_tail_quantile
+      : depends_on<sum_of_weights, tail_weights<LeftRight> >
+    {
+        /// INTERNAL ONLY
+        typedef accumulators::impl::weighted_tail_quantile_impl<mpl::_1, mpl::_2, LeftRight> impl;
+    };
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::weighted_tail_quantile
+//
+namespace extract
+{
+    extractor<tag::quantile> const weighted_tail_quantile = {};
+}
+
+using extract::weighted_tail_quantile;
+
+}} // namespace boost::accumulators
+
+#ifdef _MSC_VER
+# pragma warning(pop)
+#endif
+
+#endif