| Library: | finance |
| See also: | dpgp dpgpdiag pickandsgp mlegp mlegp0 hillgp1 momentgp |
| Quantlet: | dpgpgamma | |
| Description: | Shape parameter of the Drees-Pickands estimator. |
| Usage: | gamma = dpgpgamma (x, k) | |
| Input: | ||
| x | vector of data | |
| k | scalar, number of upper extremes | |
| Output: | ||
| gamma | scalar, estimated shape parameter | |