boost/accumulators/statistics/rolling_moment.hpp
///////////////////////////////////////////////////////////////////////////////
// rolling_moment.hpp
// Copyright 2005 Eric Niebler.
// Copyright (C) 2014 Pieter Bastiaan Ober (Integricom).
// 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_ROLLING_MOMENT_HPP_EAN_27_11_2005
#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MOMENT_HPP_EAN_27_11_2005
#include <boost/config/no_tr1/cmath.hpp>
#include <boost/mpl/int.hpp>
#include <boost/mpl/assert.hpp>
#include <boost/mpl/placeholders.hpp>
#include <boost/accumulators/framework/accumulator_base.hpp>
#include <boost/accumulators/framework/extractor.hpp>
#include <boost/accumulators/numeric/functional.hpp>
#include <boost/accumulators/framework/parameters/sample.hpp>
#include <boost/accumulators/framework/depends_on.hpp>
#include <boost/accumulators/statistics_fwd.hpp>
#include <boost/accumulators/statistics/moment.hpp>
#include <boost/accumulators/statistics/rolling_count.hpp>
namespace boost { namespace accumulators
{
namespace impl
{
///////////////////////////////////////////////////////////////////////////////
// rolling_moment_impl
template<typename N, typename Sample>
struct rolling_moment_impl
: accumulator_base
{
BOOST_MPL_ASSERT_RELATION(N::value, >, 0);
// for boost::result_of
typedef typename numeric::functional::fdiv<Sample, std::size_t,void,void>::result_type result_type;
template<typename Args>
rolling_moment_impl(Args const &args)
: sum_(args[sample | Sample()])
{
}
template<typename Args>
void operator ()(Args const &args)
{
if(is_rolling_window_plus1_full(args))
{
this->sum_ -= numeric::pow(rolling_window_plus1(args).front(), N());
}
this->sum_ += numeric::pow(args[sample], N());
}
template<typename Args>
result_type result(Args const &args) const
{
return numeric::fdiv(this->sum_, rolling_count(args));
}
// make this accumulator serializeable
template<class Archive>
void serialize(Archive & ar, const unsigned int file_version)
{
ar & sum_;
}
private:
result_type sum_;
};
} // namespace impl
///////////////////////////////////////////////////////////////////////////////
// tag::rolling_moment
//
namespace tag
{
template<int N>
struct rolling_moment
: depends_on< rolling_window_plus1, rolling_count>
{
/// INTERNAL ONLY
///
typedef accumulators::impl::rolling_moment_impl<mpl::int_<N>, mpl::_1> impl;
#ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
/// tag::rolling_window::window_size named parameter
static boost::parameter::keyword<tag::rolling_window_size> const window_size;
#endif
};
}
///////////////////////////////////////////////////////////////////////////////
// extract::rolling_moment
//
namespace extract
{
BOOST_ACCUMULATORS_DEFINE_EXTRACTOR(tag, rolling_moment, (int))
}
using extract::rolling_moment;
// There is no weighted_rolling_moment (yet)...
//
//// So that rolling_moment<N> can be automatically substituted with
//// weighted_rolling_moment<N> when the weight parameter is non-void
//template<int N>
//struct as_weighted_feature<tag::rolling_moment<N> >
//{
// typedef tag::weighted_rolling_moment<N> type;
//};
//
//template<int N>
//struct feature_of<tag::weighted_rolling_moment<N> >
// : feature_of<tag::rolling_moment<N> >
//{
//};
}} // namespace boost::accumulators
#endif