Estimation of the (coherent) tail mean based on the peaks over threshold method (for both left and right tails) More...

#include <statistics_fwd.hpp>

Inheritance diagram for boost::accumulators::impl::pot_tail_mean_impl< Sample, Impl, LeftRight >:

Collaboration diagram for boost::accumulators::impl::pot_tail_mean_impl< Sample, Impl, LeftRight >:

Public Types
typedef numeric::functional::fdiv < Sample, std::size_t > ::result_type	float_type

typedef float_type	result_type

typedef mpl::false_	is_droppable

Public Member Functions
	pot_tail_mean_impl (dont_care)

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

detail::void_	operator() (dont_care)

detail::void_	add_ref (dont_care)

detail::void_	drop (dont_care)

detail::void_	on_drop (dont_care)

Detailed Description

template<typename Sample, typename Impl, typename LeftRight>
struct boost::accumulators::impl::pot_tail_mean_impl< Sample, Impl, LeftRight >

Estimation of the (coherent) tail mean based on the peaks over threshold method (for both left and right tails)

Computes an estimate for the (coherent) tail mean

$\widehat{CTM}_{\alpha} = \hat{q}_{\alpha} - \frac{\bar{\beta}}{\xi-1}(1-\alpha)^{-\xi},$

where $\bar[u]$ , $\bar{\beta}$ and $\xi$ 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.