Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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

Note:




Author: M. Thomas, 19990503 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006