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Struct template pot_tail_mean_impl

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)

Synopsis

// In header: <boost/accumulators/statistics_fwd.hpp>

template<typename Sample, typename Impl, typename LeftRight> 
struct pot_tail_mean_impl : public accumulator_base {
  // construct/copy/destruct
  pot_tail_mean_impl(dont_care);

  // public member functions
  template<typename Args> result_type result(Args const &) const;
};

Description

Computes an estimate for the (coherent) tail mean

Equation 1.18. 


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.

pot_tail_mean_impl public construct/copy/destruct

  1. pot_tail_mean_impl(dont_care);

pot_tail_mean_impl public member functions

  1. template<typename Args> result_type result(Args const & args) const;

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