tailrisk_threshold_stability
Scan candidate thresholds to check if tail shape estimates remain stable before trusting a single peaks-over-threshold fit.
Instructions
Refit across candidate thresholds to test whether the tail fit is stable.
Threshold choice is the main judgement call in a POT analysis. Call this before trusting a single fit: if the shape parameter drifts steadily with the threshold, the estimate is not yet in the asymptotic regime.
Returns:
str: JSON with a scan list (one record per threshold, each with
quantile, threshold, shape, scale, modified_scale,
n_exceedances), the shape_range across the scan, and a
stability verdict.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| params | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |