Uses of Record Class
com.quantfinlib.risk.ExtremeValueTheory.GpdFit

Packages that use ExtremeValueTheory.GpdFit

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of ExtremeValueTheory.GpdFit in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return ExtremeValueTheory.GpdFit

Modifier and Type	Method	Description
ExtremeValueTheory.GpdFit	ExtremeValueTheory.GpdMle.fit()	Returns the value of the fit record component.
static ExtremeValueTheory.GpdFit	ExtremeValueTheory.fitPot(double[] losses, double thresholdQuantile)	Fits a GPD to the losses exceeding the thresholdQuantile of the sample (e.g. 0.90), via probability-weighted moments.

Constructors in com.quantfinlib.risk with parameters of type ExtremeValueTheory.GpdFit

Modifier	Constructor	Description
	GpdMle(ExtremeValueTheory.GpdFit fit, double shapeStdError, double scaleStdError, double logLikelihood)	Creates an instance of a GpdMle record class.