public void P2QuantileEstimatorTest(string testKey)
{
var testData = TestDataMap[testKey];
double p = testData.Probability;
var sample = testData.Generate();
var estimator = new P2QuantileEstimator(p);
foreach (double x in sample.Values)
{
estimator.AddValue(x);
}
double actual = estimator.GetQuantile();
double expected = SimpleQuantileEstimator.Instance.GetQuantile(sample, p);
double pDelta = 0.1 + Math.Abs(p - 0.5) * 0.2 + 2.0 / testData.N;
double expectedMin = SimpleQuantileEstimator.Instance.GetQuantile(sample, (p - pDelta).Clamp(0, 1));
double expectedMax = SimpleQuantileEstimator.Instance.GetQuantile(sample, (p + pDelta).Clamp(0, 1));
double mad = MedianAbsoluteDeviation.CalcMad(sample);
double error = Math.Abs(actual - expected);
double errorNorm = error / mad;
output.WriteLine($"ExpectedMin = {expectedMin:N5}");
output.WriteLine($"Expected = {expected:N5}");
output.WriteLine($"ExpectedMax = {expectedMax:N5}");
output.WriteLine($"Actual = {actual:N5}");
output.WriteLine($"Error = {error:N5}");
output.WriteLine($"ErrorNorm = {errorNorm:N5}");
Assert.True(expectedMin <= actual && actual <= expectedMax);
}
public void P2QuantileEstimatorReferenceTest()
{
double[] values =
{
0.02, 0.15, 0.74, 3.39, 0.83, 22.37, 10.15, 15.43, 38.62, 15.92,
34.60, 10.28, 1.47, 0.40, 0.05, 11.39, 0.27, 0.42, 0.09, 11.37
};
var estimator = new P2QuantileEstimator(0.5);
foreach (double x in values)
{
estimator.AddValue(x);
}
double actual = estimator.GetQuantile();
const double expected = 4.44;
Assert.Equal(expected, actual, new AbsoluteEqualityComparer(1e-2));
}
public MovingP2QuantileEstimator(double probability, int windowSize)
{
this.windowSize = windowSize;
estimator = new P2QuantileEstimator(probability);
}
