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: 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

Example:
library("finance")
randomize(0)
x=randx("gp",100,1)
m=mlegp(x,50)
m

Result:
Contents of m.gamma
[1,]   1.3339
Contents of m.mu
[1,]  0.15342
Contents of m.sigma
[1,]  0.53523



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