| Library: | finance |
| See also: | momentgp |
| Quantlet: | momentgpdiag | |
| Description: | Vector of moment estimator for GP model. |
| Usage: | r = momentgpdiag (x, k) | |
| Input: | ||
| x | vector | |
| k | vector, number of exceedances | |
| Output: | ||
| r | vector with shape parameters | |
library("finance")
x=randx("gp",100,1)
r=momentgpdiag(x,3:100)
Vector with estimated shape parameter for all number of extremes provided in k