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