tailrisk_fit_gpd
Fit a generalized Pareto distribution to threshold exceedances to measure tail heaviness and identify whether extreme events are unbounded, exponentially bounded, or have a finite worst case.
Instructions
Fit a generalised Pareto distribution to threshold exceedances.
Use this first when asked how heavy a tail is. The shape parameter is the headline number: above zero means a heavy tail with no upper bound, near zero means exponential decay, below zero means a finite worst case.
Returns:
str: JSON with keys threshold, shape, scale,
n_observations, n_exceedances, exceedance_rate,
log_likelihood and an interpretation string.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| params | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |