Library: | finance |
See also: | pickandsgp dpgp dpgpdiag dpgpgamma mleev0 mlegp hillgp1 momentgp |
Quantlet: | mlegpdiag | |
Description: | Vector of the maximum likelihood estimator for the Generalized Pareto model. |
Usage: | r = mlegpdiag (x, k) | |
Input: | ||
x | vector of data | |
k | vector, number of exceedances | |
Output: | ||
r | vector with shape parameters |
library("finance") x=randx("gp",100,1) r=mlegpdiag(x,8:100)
Vector containing the estimated shape parameters for the number of exceedances provided in k