Library: | finance |
See also: | dpgp pickandsgp momentgp |
Quantlet: | gpsigmaest | |
Description: | estimator for scale parameter within GP models |
Usage: | sigma = gpsigmaest (gamma, y) | |
Input: | ||
gamma | scalar, shape parameter | |
y | vector, exceedances above threshold | |
Output: | ||
sigma | scalar, estimated scale parameter |