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THE FEUTEX TOOLKIT

Generalized Pareto Threshold Exceedance

Estimate excess-tail probability and a return-level quantile above a selected threshold.

Probability workspace● Runs in your browser
01 Your input
02 Your result
View or copy raw result data
FormulaSurvival = xi===0 ? exp(-x/sigma) : exp(-log1p(xi*x/sigma)/xi); Quantile = xi===0 ? -sigma*log1p(-p) : sigma*expm1(-xi*log1p(-p))/xi
Sources and model references

Made for real tasks

  • Estimate excess-tail probability and a return-level quantile above a selected threshold.
Explore step-by-step workflows →

Worked example

Inputs

Shape parameter
0.2 number
Scale parameter
5 number
Excess above threshold
10 number
Quantile probability
0.95 probability

Expected results

Survival
0.1859344321 probability
Quantile
20.51410508 number

Load the example in the workspace to reproduce these results. Display rounding does not change the underlying calculation.

How to use this tool

  1. Enter shape parameter, scale parameter, excess above threshold, quantile probability.
  2. Use the displayed units and confirm the model assumptions.
  3. Calculate and compare the outputs against your input scenario.

Try this example

{
  "xi": 0.2,
  "sigma": 5,
  "x": 10,
  "p": 0.95
}

Accuracy and scope

Parameters must already be fitted to suitable threshold exceedances; not a fitting tool or validated extreme-event forecast.

Is my data uploaded?

This tool runs locally in your browser. Input and output are not sent to a processing server. Copy or download your result before leaving the page.