| Library: | finance |
| See also: | pickandsgp dpgp dpgpdiag dpgpgamma mleev0 mlegp hillgp1 momentgp |
| Quantlet: | mlegp0 | |
| Description: | Maximum likelihood estimator for exponential (GP0) model |
| Usage: | {mu, sigma} = mlegp0 (x, k) | |
| Input: | ||
| x | vector | |
| k | integer, number of upper extremes | |
| Output: | ||
| mu | scalar, estimated location parameter | |
| sigma | scalar, estimated scale parameter | |
library("finance")
randomize(0)
x=randx("gp0",100)
m=mlegp0(x,50)
m
Contents of m.mu [1,] -0.15354 Contents of m.sigma [1,] 1.0401