Library: | finance |
See also: | mleev0 |
Quantlet: | lrseev | |
Description: | LRS estimator for an Extreme Value model |
Usage: | {gamma, mu, sigma} = lrseev (x) | |
Input: | ||
x | vector of data | |
Output: | ||
gamma | scalar, estimated shape parameter | |
mu | scalar, estimated location parameter | |
sigma | scalar, estimated scale parameter |
library("finance") randomize(0) x=randx("ev",100,1) m=lrseev(x) m
Contents of m.gamma [1,] 1.1763 Contents of m.mu [1,] -0.21358 Contents of m.sigma [1,] 0.75196