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boost::accumulators::impl::pot_quantile_impl — Quantile Estimation based on Peaks over Threshold Method (for both left and right tails)
// In header: <boost/accumulators/statistics/pot_quantile.hpp> template<typename Sample, typename Impl, typename LeftRight> struct pot_quantile_impl : public { // types typedef ; typedef ; // construct/copy/destruct (); // public member functions template<typename Args> () ; template<typename Archive> (, ); };
Computes an estimate
for a right or left extreme quantile, ,
and
being 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.