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