1 files changed, 85 insertions, 0 deletions
diff --git a/src/boost/libs/accumulators/test/tail_quantile.cpp b/src/boost/libs/accumulators/test/tail_quantile.cpp
new file mode 100644
index 00000000..1f539d85
--- /dev/null
+++ b/src/boost/libs/accumulators/test/tail_quantile.cpp
@@ -0,0 +1,85 @@
+//  (C) Copyright 2006 Eric Niebler, Olivier Gygi.
+//  Use, modification and distribution are subject to 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)
+
+// Test case for tail_quantile.hpp
+
+#include <boost/random.hpp>
+#include <boost/test/unit_test.hpp>
+#include <boost/test/floating_point_comparison.hpp>
+#include <boost/accumulators/numeric/functional/vector.hpp>
+#include <boost/accumulators/numeric/functional/complex.hpp>
+#include <boost/accumulators/numeric/functional/valarray.hpp>
+#include <boost/accumulators/accumulators.hpp>
+#include <boost/accumulators/statistics/stats.hpp>
+#include <boost/accumulators/statistics/tail_quantile.hpp>
+
+using namespace boost;
+using namespace unit_test;
+using namespace boost::accumulators;
+
+///////////////////////////////////////////////////////////////////////////////
+// test_stat
+//
+void test_stat()
+{
+    // tolerance in %
+    double epsilon = 1;
+
+    std::size_t n = 100000; // number of MC steps
+    std::size_t c =  10000; // cache size
+
+    typedef accumulator_set<double, stats<tag::tail_quantile<right> > > accumulator_t_right;
+    typedef accumulator_set<double, stats<tag::tail_quantile<left> > > accumulator_t_left;
+
+    accumulator_t_right acc0( right_tail_cache_size = c );
+    accumulator_t_right acc1( right_tail_cache_size = c );
+    accumulator_t_left  acc2( left_tail_cache_size = c );
+    accumulator_t_left  acc3( left_tail_cache_size = c );
+
+    // two random number generators
+    boost::lagged_fibonacci607 rng;
+    boost::normal_distribution<> mean_sigma(0,1);
+    boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
+
+    for (std::size_t i = 0; i < n; ++i)
+    {
+        double sample1 = rng();
+        double sample2 = normal();
+        acc0(sample1);
+        acc1(sample2);
+        acc2(sample1);
+        acc3(sample2);
+    }
+
+    // check uniform distribution
+    BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.95 ), 0.95,  epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.975), 0.975, epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.99 ), 0.99,  epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc0, quantile_probability = 0.999), 0.999, epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability  = 0.05 ), 0.05,  4*epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability  = 0.025), 0.025, 5*epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability  = 0.01 ), 0.01,  7*epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability  = 0.001), 0.001, 22*epsilon );
+
+    // check standard normal distribution
+    BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975),  1.959963, epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999),  3.090232, 3*epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability  = 0.025), -1.959963, 2*epsilon );
+    BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability  = 0.001), -3.090232, 3*epsilon );
+
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// init_unit_test_suite
+//
+test_suite* init_unit_test_suite( int argc, char* argv[] )
+{
+    test_suite *test = BOOST_TEST_SUITE("tail_quantile test");
+
+    test->add(BOOST_TEST_CASE(&test_stat));
+
+    return test;
+}
+