1 | #ifndef _theplu_yat_statistics_kolmogorov_smirnov_ |
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2 | #define _theplu_yat_statistics_kolmogorov_smirnov_ |
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3 | |
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4 | // $Id: KolmogorovSmirnov.h 3018 2013-04-04 04:46:38Z peter $ |
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5 | |
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6 | /* |
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7 | Copyright (C) 2008 Jari Häkkinen, Peter Johansson |
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8 | Copyright (C) 2009, 2010, 2011, 2012, 2013 Peter Johansson |
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9 | |
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10 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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11 | |
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12 | The yat library is free software; you can redistribute it and/or |
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13 | modify it under the terms of the GNU General Public License as |
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14 | published by the Free Software Foundation; either version 3 of the |
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15 | License, or (at your option) any later version. |
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16 | |
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17 | The yat library is distributed in the hope that it will be useful, |
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18 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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19 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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20 | General Public License for more details. |
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21 | |
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22 | You should have received a copy of the GNU General Public License |
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23 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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24 | */ |
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25 | |
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26 | #include <boost/concept_check.hpp> |
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27 | |
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28 | #include <iosfwd> |
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29 | #include <set> |
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30 | #include <vector> |
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31 | |
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32 | namespace theplu { |
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33 | namespace yat { |
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34 | namespace statistics { |
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35 | |
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36 | /** |
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37 | \brief Kolmogorov Smirnov Test |
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38 | */ |
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39 | class KolmogorovSmirnov |
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40 | { |
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41 | public: |
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42 | /** |
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43 | struct used to store data in KolmogorovSmirnov. |
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44 | |
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45 | This struct is public to make usage of the add range function |
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46 | more convenient. |
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47 | |
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48 | \since New in yat 0.5 |
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49 | */ |
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50 | struct Element |
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51 | { |
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52 | /** |
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53 | \brief default constructor |
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54 | */ |
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55 | Element(void); |
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56 | |
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57 | /** |
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58 | \brief Constructor |
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59 | */ |
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60 | Element(double x, bool class_label, double w=1.0); |
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61 | |
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62 | /** |
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63 | \brief data value |
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64 | */ |
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65 | double value; |
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66 | |
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67 | /** |
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68 | bool telling which group the data point belongs to |
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69 | */ |
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70 | bool label; |
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71 | |
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72 | /** |
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73 | weight for the data point |
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74 | */ |
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75 | double weight; |
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76 | |
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77 | /** |
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78 | \return true if value is less than rhs.value |
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79 | */ |
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80 | bool operator<(const Element& rhs) const; |
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81 | }; |
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82 | |
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83 | /** |
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84 | \brief Constructor |
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85 | */ |
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86 | KolmogorovSmirnov(void); |
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87 | |
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88 | /** |
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89 | \brief add a value |
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90 | */ |
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91 | void add(double value, bool class_label, double weight=1.0); |
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92 | |
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93 | /** |
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94 | \brief add a range |
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95 | |
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96 | value_type of \a ForwardIterator must be convertible to |
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97 | KolmogorovSmirnov::Element |
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98 | |
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99 | Insertion takes typically N*log(N). However, if range is |
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100 | sorted, insertion takes linear time. A common use case of this |
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101 | function is when calculating several KS statistics on a data |
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102 | set (values and weights) with different class labels. |
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103 | |
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104 | \since New in yat 0.5 |
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105 | */ |
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106 | template <typename ForwardIterator> |
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107 | void add(ForwardIterator first, ForwardIterator last); |
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108 | |
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109 | /** |
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110 | \brief Large-Sample Approximation |
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111 | |
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112 | This analytical approximation of p-value can be used when all |
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113 | weight equal unity and sample sizes \a n and \a m are |
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114 | large. The p-value is calcuated as \f$ P = \displaystyle - 2 |
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115 | \sum_{k=1}^{\infty} (-1)^ke^{-2k^2s^2}\f$, where s is the |
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116 | scaled score: |
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117 | |
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118 | \f$ s = \sqrt\frac{nm}{n+m} \f$ score(). |
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119 | |
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120 | \since New in yat 0.5 |
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121 | |
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122 | Following Hollander and Wolfe |
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123 | */ |
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124 | double p_value(void) const; |
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125 | |
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126 | /** |
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127 | \brief p-value |
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128 | |
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129 | Performs a permutation test using \a perm label randomizations |
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130 | and calculate how often a score equal or larger than score() is |
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131 | obtained. |
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132 | |
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133 | \see shuffle |
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134 | */ |
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135 | double p_value(size_t perm) const; |
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136 | |
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137 | /** |
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138 | \brief Remove a data point |
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139 | |
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140 | \throw utility::runtime_error if no data point exist with \a |
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141 | value, \a class_label, and \a weight. |
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142 | |
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143 | \since New in yat 0.9 |
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144 | */ |
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145 | void remove(double value, bool class_label, double weight=1.0); |
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146 | |
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147 | /** |
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148 | \brief resets everything to zero |
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149 | */ |
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150 | void reset(void); |
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151 | |
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152 | /** |
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153 | \brief Kolmogorov Smirnov statistic |
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154 | |
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155 | \f$ sup_x | F_{\textrm{True}}(x) - F_{\textrm{False}}(x) | \f$ where |
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156 | \f$ F(x) = \frac{\sum_{i:x_i\le x}w_i}{ \sum w_i} \f$ |
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157 | */ |
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158 | double score(void) const; |
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159 | |
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160 | /** |
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161 | \brief shuffle class labels |
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162 | |
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163 | This is equivalent to reset and re-add values with shuffled |
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164 | class labels. |
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165 | |
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166 | \since New in yat 0.5 |
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167 | */ |
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168 | void shuffle(void); |
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169 | |
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170 | /** |
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171 | Same as score() but keeping the sign, in other words, |
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172 | abs(signed_score())==score() |
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173 | |
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174 | A positive score implies that values in class \c true \em on |
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175 | \em average are smaller than values in class \c false. |
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176 | |
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177 | \since New in yat 0.5 |
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178 | */ |
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179 | double signed_score(void) const; |
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180 | |
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181 | private: |
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182 | void scores(std::vector<double>&) const; |
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183 | // add weights to sum_w1 and sum_w2 respectively depending on |
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184 | // label in element. |
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185 | template <typename ForwardIterator> |
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186 | void add_sum_w(ForwardIterator first, ForwardIterator last); |
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187 | |
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188 | mutable bool cached_; |
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189 | mutable double score_; |
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190 | typedef std::multiset<Element> data_w; |
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191 | data_w data_; |
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192 | double sum_w1_; |
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193 | double sum_w2_; |
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194 | |
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195 | friend std::ostream& operator<<(std::ostream&, const KolmogorovSmirnov&); |
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196 | |
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197 | // using compiler generated copy and assignment |
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198 | //KolmogorovSmirnov(const KolmogorovSmirnov&); |
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199 | //KolmogorovSmirnov& operator=(const KolmogorovSmirnov&); |
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200 | }; |
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201 | |
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202 | /** |
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203 | \brief output operator |
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204 | |
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205 | \relates KolmogorovSmirnov |
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206 | */ |
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207 | std::ostream& operator<<(std::ostream&, const KolmogorovSmirnov&); |
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208 | |
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209 | |
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210 | // template implementations |
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211 | |
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212 | template <typename ForwardIterator> |
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213 | void KolmogorovSmirnov::add(ForwardIterator first, ForwardIterator last) |
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214 | { |
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215 | BOOST_CONCEPT_ASSERT((boost::ForwardIterator<ForwardIterator>)); |
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216 | typedef typename std::iterator_traits<ForwardIterator>::reference ref; |
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217 | BOOST_CONCEPT_ASSERT((boost::Convertible<ref, KolmogorovSmirnov::Element>)); |
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218 | ForwardIterator iter(first); |
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219 | typename data_w::const_iterator hint(data_.begin()); |
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220 | for ( ; iter!=last; ++iter) |
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221 | if ((*iter).weight) // ignore data points with zero weight |
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222 | hint = data_.insert(hint, *iter); |
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223 | add_sum_w(first, last); |
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224 | cached_=false; |
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225 | } |
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226 | |
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227 | |
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228 | template <typename ForwardIterator> |
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229 | void KolmogorovSmirnov::add_sum_w(ForwardIterator first, |
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230 | ForwardIterator last) |
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231 | { |
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232 | while (first!=last) { |
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233 | if ((*first).label) |
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234 | sum_w1_ += (*first).weight; |
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235 | else |
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236 | sum_w2_ += (*first).weight; |
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237 | ++first; |
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238 | } |
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239 | } |
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240 | |
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241 | }}} // of namespace theplu yat statistics |
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242 | |
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243 | #endif |
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