use crate::evaluator::*;
macro_const! {
const DOC: &'static str = r#"
Inter-percentile range
$$
Q(1 - p) - Q(p),
$$
where $Q(p)$ is the $p$th quantile of the magnitude distribution.
Special cases are [the interquartile range](https://en.wikipedia.org/wiki/Interquartile_range)
which is inter-percentile range for $p = 0.25$ and
[the interdecile range](https://en.wikipedia.org/wiki/Interdecile_range) which is
inter-percentile range for $p = 0.1$.
- Depends on: **magnitude**
- Minimum number of observations: **1**
- Number of features: **1**
"#;
}
#[doc = DOC!()]
#[cfg_attr(test, derive(PartialEq))]
#[derive(Clone, Debug, Serialize, Deserialize)]
#[serde(
from = "InterPercentileRangeParameters",
into = "InterPercentileRangeParameters"
)]
pub struct InterPercentileRange {
quantile: f32,
name: String,
description: String,
}
lazy_info!(
INTER_PERCENTILE_RANGE_INFO,
InterPercentileRange,
size: 1,
min_ts_length: 1,
t_required: false,
m_required: true,
w_required: false,
sorting_required: false,
);
impl InterPercentileRange {
pub fn new(quantile: f32) -> Self {
assert!(
(quantile > 0.0) && (quantile < 0.5),
"Quanitle should be in range (0.0, 0.5)"
);
Self {
quantile,
name: format!("inter_percentile_range_{:.0}", 100.0 * quantile),
description: format!(
"range between {:.3e}% and {:.3e}% magnitude percentiles",
100.0 * quantile,
100.0 * (1.0 - quantile)
),
}
}
#[inline]
pub fn default_quantile() -> f32 {
0.25
}
pub fn doc() -> &'static str {
DOC
}
}
impl Default for InterPercentileRange {
fn default() -> Self {
Self::new(Self::default_quantile())
}
}
impl FeatureNamesDescriptionsTrait for InterPercentileRange {
fn get_names(&self) -> Vec<&str> {
vec![self.name.as_str()]
}
fn get_descriptions(&self) -> Vec<&str> {
vec![self.description.as_str()]
}
}
impl<T> FeatureEvaluator<T> for InterPercentileRange
where
T: Float,
{
fn eval(&self, ts: &mut TimeSeries<T>) -> Result<Vec<T>, EvaluatorError> {
self.check_ts_length(ts)?;
let ppf_low = ts.m.get_sorted().ppf(self.quantile);
let ppf_high = ts.m.get_sorted().ppf(1.0 - self.quantile);
let value = ppf_high - ppf_low;
Ok(vec![value])
}
}
#[derive(Serialize, Deserialize, JsonSchema)]
#[serde(rename = "InterPercentileRange")]
struct InterPercentileRangeParameters {
quantile: f32,
}
impl From<InterPercentileRange> for InterPercentileRangeParameters {
fn from(f: InterPercentileRange) -> Self {
Self {
quantile: f.quantile,
}
}
}
impl From<InterPercentileRangeParameters> for InterPercentileRange {
fn from(p: InterPercentileRangeParameters) -> Self {
Self::new(p.quantile)
}
}
impl JsonSchema for InterPercentileRange {
json_schema!(InterPercentileRangeParameters, false);
}
#[cfg(test)]
#[allow(clippy::unreadable_literal)]
#[allow(clippy::excessive_precision)]
mod tests {
use super::*;
use crate::tests::*;
use serde_test::{assert_tokens, Token};
check_feature!(InterPercentileRange);
feature_test!(
inter_percentile_range,
[
InterPercentileRange::default(),
InterPercentileRange::new(0.25), InterPercentileRange::new(0.1),
],
[50.0, 50.0, 80.0],
linspace(0.0, 99.0, 100),
);
#[test]
fn serialization() {
const QUANTILE: f32 = 0.256;
let beyond_n_std = InterPercentileRange::new(QUANTILE);
assert_tokens(
&beyond_n_std,
&[
Token::Struct {
len: 1,
name: "InterPercentileRange",
},
Token::String("quantile"),
Token::F32(QUANTILE),
Token::StructEnd,
],
)
}
}