Library: | finance |
See also: | empme gp1me gpme lrseev mleev mlegp0 |
Quantlet: | mleev0 | |
Description: | Maximum likelihood estimator for Gumbel (EV0) model |
Usage: | {mu, sigma} = mleev0 (x) | |
Input: | ||
x | vector | |
Output: | ||
mu | scalar, estimated location parameter | |
sigma | scalar, estimated scale parameter |
library("finance") randomize(0) x=randx("ev0",100) m=mleev0(x) m
Contents of m.mu [1,] -0.18003 Contents of m.sigma [1,] 1.1118