private EstPoint[] EstBootstrap(double gammaFrom, double gammaTo, int steps, bool minus = false)
{
EstPoint[] estPoints = new EstPoint[steps];
GammaBounds(ref gammaFrom, ref gammaTo);
double step = (gammaTo - gammaFrom) / (steps - 1);
var opts = new ParallelOptions {
MaxDegreeOfParallelism = Environment.ProcessorCount * 4
};
Parallel.For(0, steps, opts, g => {
double gamma = gammaFrom + g * step;
var distr = new Distribution(Alpha, Beta, gamma, BatchSize);
Bootstrap bootstrap = new Bootstrap(BatchCount * 50, distr);
int w = 0;
for (int batch = 0; batch < BatchCount; batch++)
{
double[] array = bootstrap.Next(BatchSize);
double delta = Hill(distr, array) - distr.AlphaRev;
if (delta > distr.Bn * distr.Sigma)
{
w++;
}
}
double w0 = (double)w / BatchCount;
double p1 = Math.Abs(DispSimple(w, BatchCount, gamma, 1) - w0);
double p2 = Math.Abs(DispSimple(w, BatchCount, gamma, -1) - w0);
estPoints[g] = new EstPoint(w0, Math.Max(p1, p2), gamma);
});
return(estPoints);
}
private EstPoint[] EstBruteforce(double gammaFrom, double gammaTo, int steps, bool minus = false)
{
EstPoint[] estPoints = new EstPoint[steps];
GammaBounds(ref gammaFrom, ref gammaTo);
double step = (gammaTo - gammaFrom) / (steps - 1);
var opts = new ParallelOptions {
MaxDegreeOfParallelism = Environment.ProcessorCount * 4
};
Parallel.For(0, steps, opts, g => {
double gamma = gammaFrom + g * step;
var distr = MakeDistr(gamma);
var rnd2 = new ExponentialDistribution(distr.Alpha);
int w = 0;
for (int batch = 0; batch < BatchCount; batch++)
{
double[] array = rnd2.Generate(BatchSize);
double delta = Hill(distr, array) - distr.AlphaRev;
if (!minus && delta > distr.Bn || minus && delta < -distr.Bn)
{
w++;
}
}
double w0 = (double)w / BatchCount;
double p0 = 1; //NormalDistribution.Standard.InverseDistributionFunction(gamma);
double d = p0 * Math.Sqrt(w0 * (1 - w0) / BatchCount);
estPoints[g] = new EstPoint(w0, d, gamma);
});
return(estPoints);
}
private EstPoint[] Est(double gammaFrom, double gammaTo, int steps, bool minus = false)
{
EstPoint[] estPoints = new EstPoint[steps];
GammaBounds(ref gammaFrom, ref gammaTo);
double step = (gammaTo - gammaFrom) / (steps - 1);
var opts = new ParallelOptions {
MaxDegreeOfParallelism = Environment.ProcessorCount * 4
};
double brev = 1.0 / BatchCount;
Parallel.For(0, steps, opts, g =>
{
double gamma = gammaFrom + g * step;
var distr = new Distribution(Alpha, Beta, gamma, BatchSize);
double w = 0, d = 0;
for (int batch = 0; batch < BatchCount; batch++)
{
double[] array = minus ? Rnd2(distr, BatchSize) : Rnd(distr, BatchSize);
double delta = Hill(distr, array) - distr.AlphaRev;
if ((!minus && delta > distr.Bn) || (minus && delta < -distr.Bn))
{
int sign = minus ? -1 : 1;
double wp = 1;
for (int k = 0; k < BatchSize; k++)
{
wp *= 1 / (1 + sign * distr.Bn * distr.h(array[k]));
}
double l = wp * brev;
w += l;
d += wp * l;
}
}
double p0 = 1; //NormalDistribution.Standard.InverseDistributionFunction(gamma);
double sig = p0 * Math.Sqrt((d - w * w) / BatchCount);
estPoints[g] = new EstPoint(w, sig, gamma);
});
return(estPoints);
}