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1 | /////////////////////////////////////////////////////////////////////////////// |
2 | // rolling_moment.hpp | |
3 | // Copyright 2005 Eric Niebler. | |
4 | // Copyright (C) 2014 Pieter Bastiaan Ober (Integricom). | |
5 | // Distributed under the Boost Software License, Version 1.0. | |
6 | // (See accompanying file LICENSE_1_0.txt or copy at | |
7 | // http://www.boost.org/LICENSE_1_0.txt) | |
8 | ||
9 | #ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005 | |
10 | #define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005 | |
11 | ||
12 | #include <boost/config/no_tr1/cmath.hpp> | |
13 | #include <boost/mpl/int.hpp> | |
14 | #include <boost/mpl/assert.hpp> | |
15 | #include <boost/mpl/placeholders.hpp> | |
16 | #include <boost/accumulators/framework/accumulator_base.hpp> | |
17 | #include <boost/accumulators/framework/extractor.hpp> | |
18 | #include <boost/accumulators/numeric/functional.hpp> | |
19 | #include <boost/accumulators/framework/parameters/sample.hpp> | |
20 | #include <boost/accumulators/framework/depends_on.hpp> | |
21 | #include <boost/accumulators/statistics_fwd.hpp> | |
22 | #include <boost/accumulators/statistics/moment.hpp> | |
23 | #include <boost/accumulators/statistics/rolling_count.hpp> | |
24 | ||
25 | namespace boost { namespace accumulators | |
26 | { | |
27 | namespace impl | |
28 | { | |
29 | /////////////////////////////////////////////////////////////////////////////// | |
30 | // rolling_moment_impl | |
31 | template<typename N, typename Sample> | |
32 | struct rolling_moment_impl | |
33 | : accumulator_base | |
34 | { | |
35 | BOOST_MPL_ASSERT_RELATION(N::value, >, 0); | |
36 | // for boost::result_of | |
37 | typedef typename numeric::functional::fdiv<Sample, std::size_t,void,void>::result_type result_type; | |
38 | ||
39 | template<typename Args> | |
40 | rolling_moment_impl(Args const &args) | |
41 | : sum_(args[sample | Sample()]) | |
42 | { | |
43 | } | |
44 | ||
45 | template<typename Args> | |
46 | void operator ()(Args const &args) | |
47 | { | |
48 | if(is_rolling_window_plus1_full(args)) | |
49 | { | |
50 | this->sum_ -= numeric::pow(rolling_window_plus1(args).front(), N()); | |
51 | } | |
52 | this->sum_ += numeric::pow(args[sample], N()); | |
53 | } | |
54 | ||
55 | template<typename Args> | |
56 | result_type result(Args const &args) const | |
57 | { | |
58 | return numeric::fdiv(this->sum_, rolling_count(args)); | |
59 | } | |
60 | ||
61 | private: | |
62 | result_type sum_; | |
63 | }; | |
64 | } // namespace impl | |
65 | ||
66 | /////////////////////////////////////////////////////////////////////////////// | |
67 | // tag::rolling_moment | |
68 | // | |
69 | namespace tag | |
70 | { | |
71 | template<int N> | |
72 | struct rolling_moment | |
73 | : depends_on< rolling_window_plus1, rolling_count> | |
74 | { | |
75 | /// INTERNAL ONLY | |
76 | /// | |
77 | typedef accumulators::impl::rolling_moment_impl<mpl::int_<N>, mpl::_1> impl; | |
78 | ||
79 | #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED | |
80 | /// tag::rolling_window::window_size named parameter | |
81 | static boost::parameter::keyword<tag::rolling_window_size> const window_size; | |
82 | #endif | |
83 | }; | |
84 | } | |
85 | ||
86 | /////////////////////////////////////////////////////////////////////////////// | |
87 | // extract::rolling_moment | |
88 | // | |
89 | namespace extract | |
90 | { | |
91 | BOOST_ACCUMULATORS_DEFINE_EXTRACTOR(tag, rolling_moment, (int)) | |
92 | } | |
93 | ||
94 | using extract::rolling_moment; | |
95 | ||
96 | // There is no weighted_rolling_moment (yet)... | |
97 | // | |
98 | //// So that rolling_moment<N> can be automatically substituted with | |
99 | //// weighted_rolling_moment<N> when the weight parameter is non-void | |
100 | //template<int N> | |
101 | //struct as_weighted_feature<tag::rolling_moment<N> > | |
102 | //{ | |
103 | // typedef tag::weighted_rolling_moment<N> type; | |
104 | //}; | |
105 | // | |
106 | //template<int N> | |
107 | //struct feature_of<tag::weighted_rolling_moment<N> > | |
108 | // : feature_of<tag::rolling_moment<N> > | |
109 | //{ | |
110 | //}; | |
111 | }} // namespace boost::accumulators | |
112 | ||
113 | #endif |