| Library: | finance |
| See also: | empme pickandsgp mlegp mlegp0 dpgp momentgp hillgp1diag hill |
| Quantlet: | hillgp1 | |
| Description: | Hill estimator for the GP1 model. |
| Usage: | {alpha, sigma} = hillgp1 (x, k) | |
| Input: | ||
| x | vector | |
| k | integer, number of upper extremes | |
| Output: | ||
| alpha | scalar, estimated shape parameter | |
| sigma | scalar, estimated scale parameter | |
library("finance")
randomize(0)
x=randx("gp1",100,1)
m=hillgp1(x,50)
m
Contents of m.alpha [1,] 0.96147 Contents of m.sigma [1,] 0.85767