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

Packages that use ExtremeValueTheory.GpdFit

Package	Description
com.quantfinlib.risk	Risk: measurement, decomposition, credit/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
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.