public void QuantileEstimator_DoubleDuplicationTest2() { var data = new double[] { 0.16659357378138889, // 0 0.70210023978217528, // 0.25 0.70210023978217528, // 0.5 0.70319732172768734, // 0.75 0.70319732172768734 // 1 }; var est = new QuantileEstimator(0.01); est.AddRange(data); Assert.Equal(data[4], est.GetQuantile(0.76)); Assert.Equal(data[2], est.GetQuantile(0.3)); CheckGetQuantile(est, est); var outer = new OuterQuantiles(data); Assert.Equal(data[4], outer.GetQuantile(0.76)); Assert.Equal(data[2], outer.GetQuantile(0.3)); CheckGetQuantile(outer, outer); var inner = InnerQuantiles.FromDistribution(7, outer); CheckGetQuantile(inner, inner, (int)Math.Ceiling(100.0 / 8), (int)Math.Floor(100.0 * 7 / 8)); }
public void QuantileEstimator_AllEqualTest() { double middle = 3.4; double next = MMath.NextDouble(middle); double[] x = { middle, middle, middle }; var outer = new OuterQuantiles(x); Assert.Equal(0.0, outer.GetProbLessThan(middle)); Assert.Equal(middle, outer.GetQuantile(0.0)); Assert.Equal(middle, outer.GetQuantile(0.75)); Assert.Equal(1.0, outer.GetProbLessThan(next)); Assert.Equal(next, outer.GetQuantile(1.0)); foreach (int weight in new[] { 1, 2, 3 }) { var est = new QuantileEstimator(0.01); foreach (var item in x) { est.Add(item, weight); } Assert.Equal(0.0, est.GetProbLessThan(middle)); Assert.Equal(middle, est.GetQuantile(0.0)); Assert.Equal(1.0, est.GetProbLessThan(next)); Assert.Equal(next, est.GetQuantile(1.0)); } }
public void QuantileEstimator_DuplicationTest() { double middle = 3.4; double[] x = { 1.2, middle, middle, middle, 5.6 }; var outer = new OuterQuantiles(x); Assert.Equal(0.25, outer.GetProbLessThan(middle)); Assert.Equal(outer.GetQuantile(0.3), middle); Assert.Equal(outer.GetQuantile(0.5), middle); Assert.Equal(outer.GetQuantile(0.7), middle); CheckGetQuantile(outer, outer); var inner = InnerQuantiles.FromDistribution(7, outer); Assert.Equal(0.25, inner.GetProbLessThan(middle)); Assert.Equal(outer.GetQuantile(0.3), middle); Assert.Equal(outer.GetQuantile(0.5), middle); Assert.Equal(outer.GetQuantile(0.7), middle); CheckGetQuantile(inner, inner, (int)Math.Ceiling(100.0 / 8), (int)Math.Floor(100.0 * 7 / 8)); var est = new QuantileEstimator(0.01); est.AddRange(x); Assert.Equal(est.GetQuantile(0.3), middle); Assert.Equal(est.GetQuantile(0.5), middle); // InterpolationType==1 returns NextDouble(middle) Assert.Equal(est.GetQuantile(0.7), middle, 1e-15); CheckGetQuantile(est, est); }
public void QuantileEstimator_DoubleDuplicationTest() { double first = 1; double second = 2; double between = (first + second) / 2; double next = MMath.NextDouble(second); double[] x = { first, first, second, second }; // quantiles are 0, 1/3, 2/3, 1 var outer = new OuterQuantiles(x); Assert.Equal(0.0, outer.GetProbLessThan(first)); Assert.Equal(first, outer.GetQuantile(0.0)); Assert.Equal(0.5, outer.GetProbLessThan(between)); Assert.Equal(between, outer.GetQuantile(0.5)); Assert.Equal(2.0 / 3, outer.GetProbLessThan(second)); Assert.Equal(second, outer.GetQuantile(2.0 / 3)); Assert.Equal(1.0, outer.GetProbLessThan(next)); Assert.Equal(next, outer.GetQuantile(1.0)); CheckGetQuantile(outer, outer); var inner = InnerQuantiles.FromDistribution(5, outer); CheckGetQuantile(inner, inner, (int)Math.Ceiling(100.0 / 6), (int)Math.Floor(100.0 * 5 / 6)); var est = new QuantileEstimator(0.01); est.Add(first, 2); est.Add(second, 2); Assert.Equal(0.0, est.GetProbLessThan(first)); Assert.Equal(first, est.GetQuantile(0.0)); Assert.Equal(0.5, est.GetProbLessThan(between)); Assert.Equal(second, est.GetQuantile(2.0 / 3)); Assert.Equal(1.0, est.GetProbLessThan(next)); Assert.Equal(next, est.GetQuantile(1.0)); CheckGetQuantile(est, est); }
public void QuantileEstimator_DuplicationTest() { double middle = 3.4; double[] x = { 1.2, middle, middle, middle, 5.6 }; var outer = new OuterQuantiles(x); Assert.Equal(0.25, outer.GetProbLessThan(middle)); Assert.Equal(outer.GetQuantile(0.3), middle); Assert.Equal(outer.GetQuantile(0.5), middle); Assert.Equal(outer.GetQuantile(0.7), middle); CheckGetQuantile(outer, outer); var inner = new InnerQuantiles(7, outer); Assert.Equal(0.25, inner.GetProbLessThan(middle)); Assert.Equal(outer.GetQuantile(0.3), middle); Assert.Equal(outer.GetQuantile(0.5), middle); Assert.Equal(outer.GetQuantile(0.7), middle); CheckGetQuantile(inner, inner, 100 / 8, 100 * 7 / 8); var est = new QuantileEstimator(0.01); est.AddRange(x); Assert.Equal(0.25, est.GetProbLessThan(middle)); Assert.Equal(est.GetQuantile(0.3), middle); Assert.Equal(est.GetQuantile(0.5), middle); Assert.Equal(est.GetQuantile(0.7), middle); CheckGetQuantile(est, est); }
public void QuantileEstimator_InfinityTest() { var est = new QuantileEstimator(0.1); est.Add(double.PositiveInfinity); Assert.Equal(double.PositiveInfinity, est.GetQuantile(0.1)); }
/// <summary> /// Test that QuantileEstimator can handle billions of items. /// </summary> //[TestMethod, TestCategory("Performance")] internal void QuantileEstimatorBillionsTest() { long n = 100000; double maximumError = 1e-2; QuantileEstimator est = new QuantileEstimator(maximumError); for (int i = 0; i < n; i++) { if (i % 100 == 0) { Console.WriteLine(i); } for (int j = 0; j < n; j++) { est.Add(i + j); } } long expectedCount = n * n; ulong actualCount = est.GetCount(); Console.WriteLine($"count = {actualCount} should be {expectedCount}"); Assert.Equal(expectedCount, actualCount, maximumError * expectedCount); double expectedMedian = n - 2; double actualMedian = est.GetQuantile(0.5); Console.WriteLine($"median = {actualMedian} should be {expectedMedian}"); Assert.Equal(expectedMedian, actualMedian, maximumError * expectedMedian); }
public override double GetValue(Sample a, Sample b, Probability probability) { Assertion.NotNull(nameof(a), a); Assertion.NotNull(nameof(b), b); try { double aMad = MedianAbsoluteDeviation.CalcMad(a); double bMad = MedianAbsoluteDeviation.CalcMad(b); if (aMad < Eps && bMad < Eps) { double aMedian = QuantileEstimator.GetMedian(a); double bMedian = QuantileEstimator.GetMedian(b); if (Math.Abs(aMedian - bMedian) < Eps) { return(0); } return(aMedian < bMedian ? double.PositiveInfinity : double.NegativeInfinity); } double aQuantile = QuantileEstimator.GetQuantile(a, probability); double bQuantile = QuantileEstimator.GetQuantile(b, probability); double pooledMad = PooledMad(a.Count, b.Count, aMad, bMad); return((bQuantile - aQuantile) / pooledMad); } catch (Exception) { return(double.NaN); } }
public void QuantileEstimator_SinglePointIsMedian() { QuantileEstimator est = new QuantileEstimator(0.1); double point = 2; est.Add(point); Assert.Equal(point, est.GetQuantile(0.5)); OuterQuantiles outer = new OuterQuantiles(new[] { point }); Assert.Equal(point, outer.GetQuantile(0.5)); InnerQuantiles inner = new InnerQuantiles(new[] { point }); Assert.Equal(point, inner.GetQuantile(0.5)); }
public void QuantileEstimator_MedianTest() { double middle = 3.4; double[] x = { 1.2, middle, 5.6 }; var outer = new OuterQuantiles(x); Assert.Equal(outer.GetQuantile(0.5), middle); var inner = new InnerQuantiles(3, outer); Assert.Equal(inner.GetQuantile(0.5), middle); var est = new QuantileEstimator(0.01); est.AddRange(x); Assert.Equal(est.GetQuantile(0.5), middle); }
public void QuantileEstimator_MedianTest() { double left = 1.2; double middle = 3.4; double right = 5.6; double[] x = { left, middle, right }; var outer = new OuterQuantiles(x); Assert.Equal(middle, outer.GetQuantile(0.5)); var inner = InnerQuantiles.FromDistribution(3, outer); Assert.Equal(middle, inner.GetQuantile(0.5)); inner = new InnerQuantiles(x); CheckGetQuantile(inner, inner, 25, 75); var est = new QuantileEstimator(0.01); est.AddRange(x); Assert.Equal(est.GetQuantile(0.5), middle); }