| Library: | finance |
| See also: | pickandsgp mlegp mlegp0 hillgp1 momentgp dpgpdiag |
| Quantlet: | dpgp | |
| Description: | Drees-Pickands estimator for the Generalized Pareto (GP) model. |
| Usage: | {gamma,mu,sigma} = dpgp(x,k) | |
| Input: | ||
| x | vector of data | |
| k | integer, number of upper extremes | |
| Output: | ||
| gamma | scalar, estimated shape parameter | |
| mu | scalar, estimated location parameter | |
| sigma | scalar, estimated scale parameter | |
library("finance")
randomize(0)
x=randx("gp",100,1)
m=dpgp(x,50)
m
Contents of m.gamma [1,] 1.5921 Contents of m.mu [1,] 0.31505 Contents of m.sigma [1,] 0.35449