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

Packages that use ExtremeValueTheory.GpdMle

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

Uses of ExtremeValueTheory.GpdMle in com.quantfinlib.risk

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

Modifier and Type	Method	Description
static ExtremeValueTheory.GpdMle	ExtremeValueTheory.fitPotMle(double[] losses, double thresholdQuantile)	Maximum-likelihood GPD fit to the exceedances over the thresholdQuantile of the sample.