STRUCT (3)

NAME
boost::accumulators::impl::weighted_tail_quantile_impl - Tail quantile estimation based on order statistics of weighted samples (for both left and right tails)

SYNOPSIS

// In header: <boost/accumulators/statistics/weighted_tail_quantile.hpp>
template<typename Sample, typename Weight, typename LeftRight>
struct weighted_tail_quantile_impl {
  // types
  typedef numeric::functional::average< Weight, std::size_t >::result_type float_type;
  typedef Sample                                                           result_type;
  // construct/copy/destruct
  weighted_tail_quantile_impl(dont_care);
  // public member functions
  template<typename Args> result_type result(Args const &) const;
};

DESCRIPTION

An estimator [1][IMAGE][2] [$ of tail quantiles with level [3][IMAGE][4] [$lpha$] based on order statistics [5][IMAGE][6] [$X_{1:n} qots of weighted samples are given by [7][IMAGE][8] [$X_{:n}$] (left tail) and [9][IMAGE][10] [$X_{ho:n}$] (right tail), where

Equation 1.34.  [11].sp .RS 4 [IMAGE][12] \[ \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\} \] .RE

and

Equation 1.35.  [13].sp .RS 4 [IMAGE][14] \[ \rho = \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\}, \] .RE

[15][IMAGE][16] [$n$] being the number of samples and [17][IMAGE][18] [$ the sum of all weights.

  weighted_tail_quantile_impl public construct/copy/destruct

    1.

    weighted_tail_quantile_impl(dont_care);

  weighted_tail_quantile_impl public member functions

    1.

    template<typename Args> result_type result(Args const & args) const;