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POST
Generalized Pareto Distribution (GPD) - Peaks Over Threshold

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
data
number[]
required

Loss or return data for tail analysis

Minimum array length: 100
Example:
threshold
number | null

Threshold value for defining extreme events (auto-selected if not provided)

Example:

-0.04

quantile
number
default:0.95

Quantile level for threshold selection if threshold not provided

Example:

0.95

fit_method
enum<string>
default:mle

Fitting method for GPD parameters

Available options:
mle,
pwm
Example:

"mle"

Response

GPD fit results

success
boolean
Example:

true

data
object