1 | #ifndef _theplu_yat_normalizer_gauss_ |
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2 | #define _theplu_yat_normalizer_gauss_ |
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3 | |
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4 | // $Id: Gauss.h 1575 2008-10-14 07:19:48Z jari $ |
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5 | |
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6 | /* |
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7 | Copyright (C) 2008 Peter Johansson |
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8 | |
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9 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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10 | |
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11 | The yat library is free software; you can redistribute it and/or |
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12 | modify it under the terms of the GNU General Public License as |
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13 | published by the Free Software Foundation; either version 3 of the |
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14 | License, or (at your option) any later version. |
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15 | |
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16 | The yat library is distributed in the hope that it will be useful, |
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17 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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18 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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19 | General Public License for more details. |
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20 | |
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21 | You should have received a copy of the GNU General Public License |
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22 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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23 | */ |
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24 | |
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25 | #include "Spearman.h" |
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26 | #include "yat/utility/iterator_traits.h" |
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27 | |
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28 | #include <gsl/gsl_cdf.h> |
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29 | |
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30 | namespace theplu { |
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31 | namespace yat { |
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32 | namespace normalizer { |
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33 | |
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34 | /** |
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35 | \brief Gaussian Normalizer |
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36 | |
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37 | \since New in yat 0.5 |
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38 | */ |
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39 | class Gauss |
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40 | { |
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41 | public: |
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42 | /** |
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43 | It is possible to centralize a range "in place"; it is |
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44 | permissible for the iterators \a first and \a result to be the |
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45 | same. |
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46 | |
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47 | The range is first rank normalized using Spearman, after which |
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48 | each element is between 0 and unity. Second each element is |
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49 | replaced by inverse cumulative standard Gaussian distribution. |
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50 | |
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51 | After normalization the range will follow a standard Gaussian |
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52 | distribution (mean zero and unity variance). |
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53 | |
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54 | \see gsl_cdf_ugaussian_Pinv |
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55 | |
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56 | \return result + (last-first) |
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57 | */ |
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58 | template<typename ForwardIterator, typename RandomAccessIterator> |
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59 | RandomAccessIterator operator()(ForwardIterator first, ForwardIterator last, |
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60 | RandomAccessIterator result) const |
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61 | { |
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62 | Spearman spearman; |
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63 | spearman(first, last, result); |
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64 | RandomAccessIterator end = result + (last-first); |
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65 | utility::iterator_traits<RandomAccessIterator> trait; |
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66 | while (result != end) { |
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67 | trait.data(result) = gsl_cdf_ugaussian_Pinv(trait.data(result)); |
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68 | ++result; |
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69 | } |
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70 | |
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71 | return result; |
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72 | } |
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73 | |
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74 | |
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75 | private: |
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76 | }; |
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77 | |
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78 | }}} // end of namespace normalizer, yat and thep |
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79 | #endif |
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