| Library: | finance |
| See also: | dpgp empme mlegp mlegp0 hill hillgp1 momentgp pickandsgpdiag |
| Quantlet: | pickandsgp | |
| Description: | Pickands estimator for the Generalized Pareto model. |
| Usage: | {gamma,mu,sigma} = pickandsgp(x,k) | |
| Input: | ||
| x | vector | |
| k | integer: number of exceedances | |
| 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=pickandsgp(x,50)
m
Contents of m.gamma [1,] 1.6768 Contents of m.mu [1,] 0.34883 Contents of m.sigma [1,] 0.31658