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