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Struct template pot_quantile_impl

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_fwd.hpp>

template<typename Sample, typename Impl, typename LeftRight> 
struct pot_quantile_impl : public accumulator_base {
  // construct/copy/destruct

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


Computes an estimate

Equation 1.17. 

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.

pot_quantile_impl public construct/copy/destruct

  1. pot_quantile_impl(dont_care);

pot_quantile_impl public member functions

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