#include #include #include #include "stats.h" enum { bit_min = 0, bit_max, bit_median, bit_mean, bit_standard_deviation, bit_standard_error, bit_variance, bit_kurtosis, }; static inline double square(double x) { return x * x; } template static inline double interpolate(T v, T v0, double i0, T v1, double i1) { return i0 + (i1 - i0) * (v - v0) / (v1 - v0); } template inline bool Stats::is_cached(int bit) const { return cached & (1< inline void Stats::set_cached(int bit) const { cached |= 1< size_t Stats::get_size() const { return values.size(); } template Tpod Stats::get_min() const { if (!is_cached(bit_min)) { min = std::numeric_limits::max(); for (const T &v: values) min = std::min(min, v); set_cached(bit_min); } return min; } template Tpod Stats::get_max() const { if (!is_cached(bit_max)) { max = std::numeric_limits::min(); for (const T &v: values) max = std::max(max, v); set_cached(bit_max); } return max; } template Tpod Stats::get_median() const { if (!is_cached(bit_median)) { std::vector sorted; sorted.reserve(values.size()); for (const T &v: values) sorted.push_back(v); std::sort(sorted.begin(), sorted.end()); if (sorted.size() & 1) { median = sorted[sorted.size() / 2]; } else { median = (sorted[(sorted.size() - 1) / 2] + sorted[sorted.size() / 2]) / 2; } set_cached(bit_median); } return median; } template double Stats::get_mean() const { if (values.empty()) return 0.0; if (!is_cached(bit_mean)) { mean = 0.0; for (const T &v: values) mean += v; mean /= values.size(); set_cached(bit_mean); } return mean; } template double Stats::get_cdf95(size_t df) const { static const double p[101] = { -1, 12.706, 4.3027, 3.1824, 2.7765, 2.5706, 2.4469, 2.3646, 2.3060, 2.2622, 2.2281, 2.2010, 2.1788, 2.1604, 2.1448, 2.1315, 2.1199, 2.1098, 2.1009, 2.0930, 2.0860, 2.0796, 2.0739, 2.0687, 2.0639, 2.0595, 2.0555, 2.0518, 2.0484, 2.0452, 2.0423, 2.0395, 2.0369, 2.0345, 2.0322, 2.0301, 2.0281, 2.0262, 2.0244, 2.0227, 2.0211, 2.0195, 2.0181, 2.0167, 2.0154, 2.0141, 2.0129, 2.0117, 2.0106, 2.0096, 2.0086, 2.0076, 2.0066, 2.0057, 2.0049, 2.0040, 2.0032, 2.0025, 2.0017, 2.0010, 2.0003, 1.9996, 1.9990, 1.9983, 1.9977, 1.9971, 1.9966, 1.9960, 1.9955, 1.9949, 1.9944, 1.9939, 1.9935, 1.9930, 1.9925, 1.9921, 1.9917, 1.9913, 1.9908, 1.9905, 1.9901, 1.9897, 1.9893, 1.9890, 1.9886, 1.9883, 1.9879, 1.9876, 1.9873, 1.9870, 1.9867, 1.9864, 1.9861, 1.9858, 1.9855, 1.9852, 1.9850, 1.9847, 1.9845, 1.9842, 1.9840, }; if (df <= 100) return p[df]; if (df <= 120) return interpolate(df, 100, 1.9840, 120, 1.98); return 1.96; } template double Stats::get_cdf95(const Stats &other) const { return get_cdf95(get_size() + other.get_size() - 2); } template double Stats::get_cdf99(size_t df) const { static const double p[101] = { -1, 9.9250, 5.8408, 4.6041, 4.0321, 3.7074, 3.4995, 3.3554, 3.2498, 3.1693, 3.1058, 3.0545, 3.0123, 2.9768, 2.9467, 2.9208, 2.8982, 2.8784, 2.8609, 2.8453, 2.8314, 2.8188, 2.8073, 2.7970, 2.7874, 2.7787, 2.7707, 2.7633, 2.7564, 2.7500, 2.7440, 2.7385, 2.7333, 2.7284, 2.7238, 2.7195, 2.7154, 2.7116, 2.7079, 2.7045, 2.7012, 2.6981, 2.6951, 2.6923, 2.6896, 2.6870, 2.6846, 2.6822, 2.6800, 2.6778, 2.6757, 2.6737, 2.6718, 2.6700, 2.6682, 2.6665, 2.6649, 2.6633, 2.6618, 2.6603, 2.6589, 2.6575, 2.6561, 2.6549, 2.6536, 2.6524, 2.6512, 2.6501, 2.6490, 2.6479, 2.6469, 2.6458, 2.6449, 2.6439, 2.6430, 2.6421, 2.6412, 2.6403, 2.6395, 2.6387, 2.6379, 2.6371, 2.6364, 2.6356, 2.6349, 2.6342, 2.6335, 2.6329, 2.6322, 2.6316, 2.6309, 2.6303, 2.6297, 2.6291, 2.6286, 2.6280, 2.6275, 2.6269, 2.6264, 2.6259, }; if (df <= 100) return p[df]; if (df <= 120) return interpolate(df, 100, 2.6529, 120, 2.617); return 2.576; } template double Stats::get_cdf99(const Stats &other) const { return get_cdf99(get_size() + other.get_size() - 2); } template double Stats::get_confidence_interval_95() const { const size_t df = get_size() - 1; return get_standard_error() * get_cdf95(df); } template double Stats::get_confidence_interval_99() const { const size_t df = get_size() - 1; return get_standard_error() * get_cdf99(df); } template bool Stats::is_same_distribution_95(size_t npoints, double mean, double stddev) const { return fabs(get_t_test(npoints, mean, stddev)) < get_cdf95(get_size() + npoints - 2); } template bool Stats::is_same_distribution_95(const Stats &other) const { return fabs(get_t_test(other)) < get_cdf95(other); } template bool Stats::is_same_distribution_99(size_t npoints, double mean, double stddev) const { return fabs(get_t_test(npoints, mean, stddev)) < get_cdf99(get_size() + npoints - 2); } template bool Stats::is_same_distribution_99(const Stats &other) const { return fabs(get_t_test(other)) < get_cdf99(other); } template double Stats::get_standard_deviation() const { if (values.size() <= 1) return 0.0; if (!is_cached(bit_standard_deviation)) { Tpod m = get_mean(), t = 0; for (const T &v: values) t += ((T)v - m) * ((T)v - m); standard_deviation = sqrt(t / ((double)values.size() - 1)); set_cached(bit_standard_deviation); } return standard_deviation; } template double Stats::get_standard_error() const { if (!is_cached(bit_standard_error)) { standard_error = get_standard_deviation() / sqrt(get_size()); set_cached(bit_standard_error); } return standard_error; } template double Stats::get_variance() const { if (!is_cached(bit_variance)) { double stddev = get_standard_deviation(); variance = stddev * stddev; set_cached(bit_variance); } return variance; } template double Stats::get_kurtosis() const { if (values.empty()) return 0.0; if (!is_cached(bit_kurtosis)) { double m = get_mean(); double n = 0, d = 0; for (const T &v: values) { T p2 = (v - m) * (v - m); T p4 = p2 * p2; n += p4; d += p2; } n /= values.size(); d /= values.size(); d *= d; kurtosis = n / d; set_cached(bit_kurtosis); } return kurtosis; } template double Stats::get_non_parametric_skew() const { return (get_mean() - get_median()) / get_standard_deviation(); } template double Stats::get_t_test(T t) const { const double n = get_mean() - t; const double d = get_standard_deviation() / sqrt(get_size()); return n / d; } template double Stats::get_t_test(size_t npoints, double mean, double stddev) const { const double n = get_mean() - mean; const double d = sqrt(get_variance() / get_size() + square(stddev) / npoints); return n / d; } template double Stats::get_t_test(const Stats &other) const { const double n = get_mean() - other.get_mean(); const double d = sqrt(get_variance() / get_size() + other.get_variance() / other.get_size()); return n / d; } template double Stats::get_z_test(const Stats &other) const { const double m0 = get_mean(); const double m1 = other.get_mean(); const double sd0 = get_standard_deviation(); const double sd1 = other.get_standard_deviation(); const size_t s0 = get_size(); const size_t s1 = other.get_size(); const double n = m0 - m1; const double d = sqrt(square(sd0 / sqrt(s0)) + square(sd1 / sqrt(s1))); return n / d; } template double Stats::get_test(const Stats &other) const { if (get_size() >= 30 && other.get_size() >= 30) return get_z_test(other); else return get_t_test(other); } template std::vector Stats::get_quantiles(unsigned int quantiles) const { std::vector sorted; sorted.reserve(values.size()); for (const T &v: values) sorted.push_back(v); std::sort(sorted.begin(), sorted.end()); std::vector q(quantiles + 1, 0); for (unsigned int i = 1; i <= quantiles; ++i) { unsigned idx = (unsigned)ceil(values.size() * i / (double)quantiles); q[i] = sorted[idx - 1]; } if (!is_cached(bit_min)) { min = sorted.front(); set_cached(bit_min); } q[0] = min; if (!is_cached(bit_max)) { max = sorted.back(); set_cached(bit_max); } return q; } template std::vector Stats::get_bins(unsigned int bins) const { std::vector b(bins, 0); const double scale = 1.0 / (get_max() - get_min()); const T base = get_min(); for (const T &v: values) { unsigned int idx = (v - base) * scale; ++b[idx]; } return b; }