Configuration constants for Quantile Distribution

Numerical stability parameters, tail parameters, computational limits, and tail inference parameters for quantile distribution estimation.

QuantileDistributionConfig

Numerical Stability Parameters

  • TOL: General numerical tolerance (default: 1e-6)

  • MIN_SLOPE: Minimum allowed slope dQ/dα (default: 1e-6)

  • MAX_SLOPE: Maximum allowed slope dQ/dα (default: 1e6)

Tail Parameters

  • MIN_BETA: Minimum tail scale parameter β (default: 0.01)

  • MAX_BETA: Maximum tail scale parameter β (default: 100.0)

  • MIN_ETA: Minimum GPD shape parameter η (default: -0.49)

  • MAX_ETA: Maximum GPD shape parameter η (default: 0.49)

  • ETA_TOLERANCE: Threshold for treating η ≈ 0 (default: 0.01)

Computational Limits

  • MAX_LOG_RATIO: Maximum log(ratio) (default: 15.0)

  • MAX_EXPONENT: Maximum exponent before exp() (default: 15.0)

  • MAX_CRPS: Maximum CRPS value (default: 1e4)

Tail Inference Parameters

  • TAIL_QUANTILES_FOR_ESTIMATION: Number of tail quantiles (default: 20)