...one of the most highly
regarded and expertly designed C++ library projects in the
world.

— Herb Sutter and Andrei
Alexandrescu, C++
Coding Standards

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

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.