spot.py 文件源码

def _quantile(self,gamma,sigma):
        """
        Compute the quantile at level 1-q

        Parameters
        ----------
        gamma : float
            GPD parameter
        sigma : float
            GPD parameter

        Returns
        ----------
        float
            quantile at level 1-q for the GPD(?,?,?=0)
        """
        r = self.n * self.proba / self.Nt
        if gamma != 0:
            return self.init_threshold + (sigma/gamma)*(pow(r,-gamma)-1)
        else:
            return self.init_threshold - sigma*log(r)