| Library: | finance |
| See also: | pickandsgp mlegp mlegp0 dpgp momentgp hill hillgp1 |
| Quantlet: | hillgp1diag | |
| Description: | Vector of Hill estimator for GP1 model |
| Usage: | r = hillgp1diag (x, k) | |
| Input: | ||
| x | vector of data | |
| k | vector, number of exceedances | |
| Output: | ||
| r | vector with shape parameters | |
library("finance")
x=randx("gp1",100,1)
r=hillgp1diag(x,2:100)
r
Vector with estimated shape parameter for the number of extremes provided in k