| 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 | |