| 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