Library: | finance |
See also: | dpgp dpgpdiag dpgpgamma empme gpme hill hillgp1 hillgp1diag |
Quantlet: | gp1me | |
Description: | gp1me evaluates the mean excess function of the Pareto (GP1) distribution with shape parameter alpha for all elements of a vector. |
Usage: | r = gp1me(alpha, t) | |
Input: | ||
alpha | scalar, shape parameter | |
t | vector of data | |
Output: | ||
r | vector of the mean excess function |
library("finance") gp1me(1.5,3)
Contents of r [1,] 6