121 lines
3.7 KiB
C++
121 lines
3.7 KiB
C++
///////////////////////////////////////////////////////////////////////////////
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// rolling_moment.hpp
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// Copyright 2005 Eric Niebler.
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// Copyright (C) 2014 Pieter Bastiaan Ober (Integricom).
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// Distributed under the Boost Software License, Version 1.0.
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// (See accompanying file LICENSE_1_0.txt or copy at
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// http://www.boost.org/LICENSE_1_0.txt)
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#ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005
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#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005
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#include <boost/config/no_tr1/cmath.hpp>
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#include <boost/mpl/int.hpp>
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#include <boost/mpl/assert.hpp>
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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/numeric/functional.hpp>
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#include <boost/accumulators/framework/parameters/sample.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/rolling_count.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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// rolling_moment_impl
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template<typename N, typename Sample>
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struct rolling_moment_impl
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: accumulator_base
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{
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BOOST_MPL_ASSERT_RELATION(N::value, >, 0);
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// for boost::result_of
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typedef typename numeric::functional::fdiv<Sample, std::size_t,void,void>::result_type result_type;
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template<typename Args>
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rolling_moment_impl(Args const &args)
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: sum_(args[sample | Sample()])
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{
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}
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template<typename Args>
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void operator ()(Args const &args)
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{
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if(is_rolling_window_plus1_full(args))
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{
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this->sum_ -= numeric::pow(rolling_window_plus1(args).front(), N());
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}
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this->sum_ += numeric::pow(args[sample], N());
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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(this->sum_, rolling_count(args));
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}
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// make this accumulator serializeable
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template<class Archive>
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void serialize(Archive & ar, const unsigned int file_version)
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{
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ar & sum_;
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}
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private:
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result_type sum_;
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};
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} // namespace impl
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///////////////////////////////////////////////////////////////////////////////
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// tag::rolling_moment
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//
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namespace tag
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{
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template<int N>
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struct rolling_moment
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: depends_on< rolling_window_plus1, rolling_count>
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{
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/// INTERNAL ONLY
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///
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typedef accumulators::impl::rolling_moment_impl<mpl::int_<N>, mpl::_1> impl;
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#ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
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/// tag::rolling_window::window_size named parameter
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static boost::parameter::keyword<tag::rolling_window_size> const window_size;
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#endif
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};
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}
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///////////////////////////////////////////////////////////////////////////////
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// extract::rolling_moment
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//
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namespace extract
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{
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BOOST_ACCUMULATORS_DEFINE_EXTRACTOR(tag, rolling_moment, (int))
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}
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using extract::rolling_moment;
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// There is no weighted_rolling_moment (yet)...
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//
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//// So that rolling_moment<N> can be automatically substituted with
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//// weighted_rolling_moment<N> when the weight parameter is non-void
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//template<int N>
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//struct as_weighted_feature<tag::rolling_moment<N> >
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//{
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// typedef tag::weighted_rolling_moment<N> type;
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//};
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//
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//template<int N>
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//struct feature_of<tag::weighted_rolling_moment<N> >
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// : feature_of<tag::rolling_moment<N> >
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//{
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//};
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}} // namespace boost::accumulators
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#endif
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