| Library: | finance |
| See also: | dpgp pickandsgp mlegp mlegp0 hillgp1 momentgp dpgpdiag |
| Quantlet: | dpgpdiag | |
| Description: | Vector of Drees-Pickands estimators for the Generalized Pareto model |
| Usage: | r = dpgpdiag (x, k) | |
| Input: | ||
| x | vector of data | |
| k | vector: number of exceedances | |
| Output: | ||
| r | vector with shape parameters | |
library("finance")
x=randx("gp",100,1)
r=dpgpdiag(x,4:100)
r
Vector with the estimated shape parameters for the number of extremes provided in k