| Library: | finance |
| See also: | mleev0 lrseev |
| Quantlet: | mleev | |
| Description: | Maximum likelihood estimator for EV model |
| Usage: | {gamma, mu, sigma} = mleev (x) | |
| Input: | ||
| x | vector | |
| 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=mleev(x)
m
Contents of m.gamma [1,] 0.071478 Contents of m.mu [1,] -12.021 Contents of m.sigma [1,] 34.671