Library: | finance |
See also: | pickandsgp mlegp mlegp0 hillgp1 dpgp momentgpdiag |
Quantlet: | momentgp | |
Description: | Moment estimator for GP model. |
Usage: | {gamma, mu, sigma} = momentgp (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=momentgp(x,50) m
Contents of m.gamma [1,] 1.401 Contents of m.mu [1,] 0.2003 Contents of m.sigma [1,] 0.48101