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boost::accumulators::impl::pot_tail_mean_impl — Estimation of the (coherent) tail mean based on the peaks over threshold method (for both left and right tails)
// In header: <boost/accumulators/statistics/pot_tail_mean.hpp> template<typename Sample, typename Impl, typename LeftRight> struct pot_tail_mean_impl : public { // types typedef ; typedef ; // construct/copy/destruct (); // public member functions template<typename Args> () ; template<typename Archive> (, ); };
Computes an estimate for the (coherent) tail mean
where ,
and
are the parameters of the generalized Pareto distribution that approximates the right tail of the distribution (or the mirrored left tail, in case the left tail is used). In the latter case, the result is mirrored back, yielding the correct result.