Function WilcoxonTestWithSign

library/cpp/statistics/detail.h:169–209

        //! Wilcoxon test for sorted by absolute value floating numbers.
        template <typename InputIterator>
        NStatistics::TStatTestResult WilcoxonTestWithSign(InputIterator begin, InputIterator end) {
            typedef typename std::iterator_traits<InputIterator>::value_type ValueType;

            const ValueType size = static_cast<ValueType>(std::distance(begin, end));
            ValueType denominator = size * (size + 1) * (2 * size + 1);
            ValueType w = 0;

            InputIterator blockFirst = begin;
            InputIterator blockLast = begin;
            ValueType blockFirstIndex = 0;
            ValueType blockLastIndex = 0;
            for (; blockLast != end; ++blockLast, blockLastIndex += 1) {
                InputIterator next = blockLast;
                ++next;

                if (next == end || !RelativeEqual(*next, *blockFirst)) {
                    const ValueType rank = ((blockFirstIndex + blockLastIndex + 2) / 2.0);

                    for (InputIterator it = blockFirst; it != next; ++it) {
                        if (*it > 0) {
                            w += rank;
                        }
                    }

                    const ValueType blockSize = blockLastIndex - blockFirstIndex + 1;
                    denominator -= blockSize * (blockSize - 1) * (blockSize + 1) * 0.5;
                    blockFirst = next;
                    blockFirstIndex = blockLastIndex + 1;
                }
            }

            if (denominator <= 0) {
                ythrow yexception() << "Incorrect denominator: " << denominator << " <= 0";
            }
            denominator = sqrt(denominator / 24.0);

            const ValueType x = (w - size * (size + 1) / 4.0) / denominator;
            double res = Phi(static_cast<ValueType>(0.0), static_cast<ValueType>(1.0), std::abs(x), false);

            return TStatTestResult((1 - res) * 2, (x > 0) - (x < 0));
        }
        // Wilcoxon(...) implementation details END

        //! Save addition function for Kullback–Leibler divergence