Struct Tail

pub struct Tail { /* private fields */ }

Structure that embeds GPD parameters (GPD tail actually)

Implementations

impl Tail

pub fn new(size: usize) -> SpotResult<Self>

Initialize a new Tail structure with the given size

pub fn push(&mut self, x: f64)

Add a new data point into the tail

pub fn fit(&mut self) -> f64

Fit the GPD parameters using the available estimators Returns the log-likelihood of the best fit

pub fn probability(&self, s: f64, d: f64) -> f64

Compute the probability P(X > z) = p given the tail threshold difference d = z - t

pub fn quantile(&self, s: f64, q: f64) -> f64

Compute the extreme quantile for given probability q s is the ratio Nt/n (an estimator of P(X>t) = 1-F(t)) q is the desired low probability

pub fn gamma(&self) -> f64

Get the current gamma parameter

pub fn sigma(&self) -> f64

Get the current sigma parameter

pub fn size(&self) -> usize

Get the current size of the tail data

pub fn peaks(&self) -> &Peaks

Get access to the underlying peaks structure

Trait Implementations

impl Clone for Tail

fn clone(&self) -> Tail

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for Tail

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.