Library: | finance |
See also: | dpgp dpgpdiag dpgpgamma pickandsgp momentgp mlegp |
Quantlet: | fittail | |
Description: | transforms the location and scale parameters of a GP distribution from a fit to exceedances to a tail fit. |
Usage: | {mu, sigma} = fittail (gamma, t, sigmas, k, n) | |
Input: | ||
gamma | scalar, shape parameter | |
t | scalar, truncation point | |
sigmas | scalar, scale parameter of exceedances | |
n | integer, total sample size | |
k | integer, number of exceedances | |
Output: | ||
mu | scalar, transformed location parameter | |
sigma | scalar, transformed scale parameter |