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boost::accumulators::impl::tail_quantile_impl — Tail quantile estimation based on order statistics (for both left and right tails)
// In header: <boost/accumulators/statistics/tail_quantile.hpp> template<typename Sample, typename LeftRight> struct tail_quantile_impl : public { // types typedef ; // construct/copy/destruct (); // public member functions template<typename Args> () ; template<typename Archive> (, ); };
The estimation of a tail quantile with level
based on order statistics requires the caching of at least the
smallest or the
largest samples,
being the total number of samples. The largest of the
smallest samples or the smallest of the
largest samples provides an estimate for the quantile: