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<div class="titlepage"><div><div><h4 class="title">
<a name="math_toolkit.dist_ref.dists.empirical_cdf"></a><a class="link" href="empirical_cdf.html" title="Empirical Cumulative Distribution Function">Empirical
Cumulative Distribution Function</a>
</h4></div></div></div>
<h6>
<a name="math_toolkit.dist_ref.dists.empirical_cdf.h0"></a>
<span class="phrase"><a name="math_toolkit.dist_ref.dists.empirical_cdf.synopsis"></a></span><a class="link" href="empirical_cdf.html#math_toolkit.dist_ref.dists.empirical_cdf.synopsis">Synopsis</a>
</h6>
<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">empirical_cumulative_distribution_function</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</span>
<span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>
<span class="keyword">template</span> <span class="special">&lt;</span><span class="keyword">class</span> <span class="identifier">RandomAccessContainer</span><span class="special">&gt;</span>
<span class="keyword">class</span> <span class="identifier">empirical_cumulative_distribution_function</span>
<span class="special">{</span>
<span class="keyword">public</span><span class="special">:</span>
<span class="keyword">using</span> <span class="identifier">Real</span> <span class="special">=</span> <span class="keyword">typename</span> <span class="identifier">RandomAccessContainer</span><span class="special">::</span><span class="identifier">value_type</span><span class="special">;</span>
<span class="identifier">empirical_cumulative_distribution_function</span><span class="special">(</span><span class="identifier">RandomAccessContainer</span> <span class="special">&amp;&amp;</span> <span class="identifier">v</span><span class="special">,</span> <span class="keyword">bool</span> <span class="identifier">sorted</span> <span class="special">=</span> <span class="keyword">false</span><span class="special">);</span>
<span class="keyword">auto</span> <span class="keyword">operator</span><span class="special">()(</span><span class="identifier">Real</span> <span class="identifier">t</span><span class="special">)</span> <span class="keyword">const</span><span class="special">;</span>
<span class="identifier">RandomAccessContainer</span><span class="special">&amp;&amp;</span> <span class="identifier">return_data</span><span class="special">();</span>
<span class="special">};</span>
<span class="special">}}</span>
</pre>
<h6>
<a name="math_toolkit.dist_ref.dists.empirical_cdf.h1"></a>
<span class="phrase"><a name="math_toolkit.dist_ref.dists.empirical_cdf.empirical_cumulative_distributio"></a></span><a class="link" href="empirical_cdf.html#math_toolkit.dist_ref.dists.empirical_cdf.empirical_cumulative_distributio">Empirical
Cumulative Distribution Function</a>
</h6>
<p>
The empirical cumulative distribution function is a step function constructed
from observed data which converges to the true cumulative distribution
function in the limit of infinite data. This function is a basic building
block of hypothesis testing workflows that attempt to answer the question
"does my data come from a given distribution?" These tests require
computing quadratures over some function of the empirical CDF and the supposed
CDF to create a distance measurement, and hence it is occasionally useful
to construct a continuous callable from the data.
</p>
<p>
An example usage is demonstrated below:
</p>
<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">vector</span><span class="special">&gt;</span>
<span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">random</span><span class="special">&gt;</span>
<span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">empirical_cumulative_distribution_function</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</span>
<span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">empirical_cumulative_distribution_function</span><span class="special">;</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">random_device</span> <span class="identifier">rd</span><span class="special">;</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">mt19937</span> <span class="identifier">gen</span><span class="special">{</span><span class="identifier">rd</span><span class="special">()};</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">normal_distribution</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span> <span class="identifier">dis</span><span class="special">(</span><span class="number">0</span><span class="special">,</span> <span class="number">1</span><span class="special">);</span>
<span class="identifier">size_t</span> <span class="identifier">n</span> <span class="special">=</span> <span class="number">128</span><span class="special">;</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span> <span class="identifier">v</span><span class="special">(</span><span class="identifier">n</span><span class="special">);</span>
<span class="keyword">for</span> <span class="special">(</span><span class="identifier">size_t</span> <span class="identifier">i</span> <span class="special">=</span> <span class="number">0</span><span class="special">;</span> <span class="identifier">i</span> <span class="special">&lt;</span> <span class="identifier">n</span><span class="special">;</span> <span class="special">++</span><span class="identifier">i</span><span class="special">)</span> <span class="special">{</span>
<span class="identifier">v</span><span class="special">[</span><span class="identifier">i</span><span class="special">]</span> <span class="special">=</span> <span class="identifier">dis</span><span class="special">(</span><span class="identifier">gen</span><span class="special">);</span>
<span class="special">}</span>
<span class="keyword">auto</span> <span class="identifier">ecdf</span> <span class="special">=</span> <span class="identifier">empirical_cumulative_distribution_function</span><span class="special">(</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">move</span><span class="special">(</span><span class="identifier">v</span><span class="special">));</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="string">"ecdf(0.0) = "</span> <span class="special">&lt;&lt;</span> <span class="identifier">ecdf</span><span class="special">(</span><span class="number">0.0</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="string">"\n"</span><span class="special">;</span>
<span class="comment">// should print approximately 0.5 . . .</span>
</pre>
<p>
The empirical distribution function requires sorted data. By default, the
constructor sorts it for you at O(Nlog(N)) cost.
</p>
<p>
If your data is already sorted, you can specify this and the constructor
simply moves your data into the class:
</p>
<pre class="programlisting"><span class="identifier">std</span><span class="special">::</span><span class="identifier">sort</span><span class="special">(</span><span class="identifier">v</span><span class="special">.</span><span class="identifier">begin</span><span class="special">(),</span> <span class="identifier">v</span><span class="special">.</span><span class="identifier">end</span><span class="special">());</span>
<span class="keyword">auto</span> <span class="identifier">ecdf</span> <span class="special">=</span> <span class="identifier">empirical_cumulative_distribution_function</span><span class="special">(</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">move</span><span class="special">(</span><span class="identifier">v</span><span class="special">),</span> <span class="comment">/* already sorted = */</span> <span class="keyword">true</span><span class="special">);</span>
</pre>
<p>
If you want your data back after being done with the object, use
</p>
<pre class="programlisting"><span class="identifier">v</span> <span class="special">=</span> <span class="identifier">ecdf</span><span class="special">.</span><span class="identifier">return_data</span><span class="special">();</span>
</pre>
<p>
This operation invalidates <code class="computeroutput"><span class="identifier">ecdf</span></code>;
it can no longer be used.
</p>
<p>
The call operator complexity is O(log(N)), as it requires a call to <code class="computeroutput"><span class="identifier">std</span><span class="special">::</span><span class="identifier">upper_bound</span></code>.
</p>
<p>
Works with both integer and floating point types. If the input data consists
of integers, the output of the call operator is a double. Requires C++17.
</p>
<p>
<span class="inlinemediaobject"><object type="image/svg+xml" data="../../../../graphs/empiricial_cumulative_distribution_gauss.svg"></object></span>
</p>
<p>
<span class="inlinemediaobject"><object type="image/svg+xml" data="../../../../graphs/empiricial_cumulative_distribution_uniform.svg"></object></span>
</p>
<h6>
<a name="math_toolkit.dist_ref.dists.empirical_cdf.h2"></a>
<span class="phrase"><a name="math_toolkit.dist_ref.dists.empirical_cdf.performance"></a></span><a class="link" href="empirical_cdf.html#math_toolkit.dist_ref.dists.empirical_cdf.performance">Performance</a>
</h6>
<pre class="programlisting"><span class="special">------------------------------------------------------</span>
<span class="identifier">Benchmark</span> <span class="identifier">Time</span>
<span class="special">------------------------------------------------------</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8</span> <span class="number">4.52</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16</span> <span class="number">5.20</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">32</span> <span class="number">5.22</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">64</span> <span class="number">7.37</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">128</span> <span class="number">7.16</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">256</span> <span class="number">8.97</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">512</span> <span class="number">8.44</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">1024</span> <span class="number">9.07</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">2048</span> <span class="number">11.4</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">4096</span> <span class="number">12.6</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8192</span> <span class="number">11.4</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16384</span> <span class="number">16.0</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">32768</span> <span class="number">17.0</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">65536</span> <span class="number">19.5</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">131072</span> <span class="number">15.8</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">262144</span> <span class="number">17.9</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">524288</span> <span class="number">26.7</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">1048576</span> <span class="number">29.5</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">2097152</span> <span class="number">31.8</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">4194304</span> <span class="number">32.8</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8388608</span> <span class="number">35.4</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16777216</span> <span class="number">30.4</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_BigO</span> <span class="number">1.27</span> <span class="identifier">lgN</span>
<span class="identifier">ECDFConstructorSorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_RMS</span> <span class="number">20</span> <span class="special">%</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8</span> <span class="number">155</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">64</span> <span class="number">2095</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">512</span> <span class="number">22212</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">4096</span> <span class="number">220821</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">32768</span> <span class="number">1996380</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">262144</span> <span class="number">18916039</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">2097152</span> <span class="number">194250013</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16777216</span> <span class="number">2281469424</span> <span class="identifier">ns</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_BigO</span> <span class="number">5.65</span> <span class="identifier">NlgN</span>
<span class="identifier">ECDFConstructorUnsorted</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_RMS</span> <span class="number">6</span> <span class="special">%</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8</span> <span class="number">82.4</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">64</span> <span class="number">731</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">512</span> <span class="number">5876</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">4096</span> <span class="number">46864</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">32768</span> <span class="number">385265</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">262144</span> <span class="number">4663866</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">2097152</span> <span class="number">54686332</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16777216</span> <span class="number">875309099</span> <span class="identifier">ns</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_BigO</span> <span class="number">2.16</span> <span class="identifier">NlgN</span>
<span class="identifier">Shuffle</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_RMS</span> <span class="number">12</span> <span class="special">%</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">8</span> <span class="number">48.6</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">64</span> <span class="number">61.3</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">512</span> <span class="number">85.1</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">4096</span> <span class="number">105</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">32768</span> <span class="number">131</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">262144</span> <span class="number">196</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">2097152</span> <span class="number">391</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;/</span><span class="number">16777216</span> <span class="number">715</span> <span class="identifier">ns</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_BigO</span> <span class="number">18.19</span> <span class="identifier">lgN</span>
<span class="identifier">ECDFEvaluation</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span><span class="identifier">_RMS</span> <span class="number">60</span> <span class="special">%</span>
</pre>
<p>
The call to the unsorted constructor is in fact a little faster than indicated,
as the data must be shuffled after being sorted in the benchmark. This
is itself a fairly expensive operation.
</p>
</div>
<div class="copyright-footer">Copyright © 2006-2021 Nikhar Agrawal, Anton Bikineev, Matthew Borland,
Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert Holin, Bruno
Lalande, John Maddock, Evan Miller, Jeremy Murphy, Matthew Pulver, Johan Råde,
Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg, Daryle
Walker and Xiaogang Zhang<p>
Distributed under the Boost Software License, Version 1.0. (See accompanying
file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
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