Library: | finance |
See also: | pickandsgp dpgp mlegp0 hillgp1 momentgp mlegpdiag |
Quantlet: | mlegp | |
Description: | Maximum likelihood estimator for GP model |
Usage: | {gamma, mu, sigma} = mlegp(x, k) | |
Input: | ||
x | vector | |
k | integer, number of upper extremes | |
Output: | ||
gamma | scalar, estimated shape parameter | |
mu | scalar, estimated location parameter | |
sigma | scalar, estimated scale parameter |
library("finance") randomize(0) x=randx("gp",100,1) m=mlegp(x,50) m
Contents of m.gamma [1,] 1.3339 Contents of m.mu [1,] 0.15342 Contents of m.sigma [1,] 0.53523