Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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

Example:
library("finance")
randomize(0)
x=randx("ev0",100)
m=mleev0(x)
m

Result:
Contents of m.mu
[1,] -0.18003
Contents of m.sigma
[1,]   1.1118



Author: M. Thomas, 19990503 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006