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 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);
}
}
private MadOutlierDetector([NotNull] Sample sample, double k, double consistencyConstant,
[CanBeNull] IQuantileEstimator quantileEstimator)
{
Assertion.NotNull(nameof(sample), sample);
quantileEstimator ??= HarrellDavisQuantileEstimator.Instance;
double median = quantileEstimator.GetMedian(sample);
double mad = MedianAbsoluteDeviation.CalcMad(sample, consistencyConstant, quantileEstimator);
LowerFence = median - k * mad;
UpperFence = median + k * mad;
}
public override double[] GetValues(Sample a, Sample b, IReadOnlyList <Probability> probabilities)
{
Assertion.NotNull(nameof(a), a);
Assertion.NotNull(nameof(b), b);
Assertion.NotNullOrEmpty(nameof(probabilities), probabilities);
int k = probabilities.Count;
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(ConstantSequence.Zero.GenerateArray(k));
}
return(aMedian < bMedian
? ConstantSequence.PositiveInfinity.GenerateArray(k)
: ConstantSequence.NegativeInfinity.GenerateArray(k));
}
double[] aQuantile = QuantileEstimator.GetQuantiles(a, probabilities);
double[] bQuantile = QuantileEstimator.GetQuantiles(b, probabilities);
double pooledMad = PooledMad(a.Count, b.Count, aMad, bMad);
double[] values = new double[k];
for (int i = 0; i < k; i++)
{
values[i] = (bQuantile[i] - aQuantile[i]) / pooledMad;
}
return(values);
}
catch (Exception)
{
return(ConstantSequence.NaN.GenerateArray(k));
}
}