Library: | finance |
See also: | dpgp mlegp mlegp0 hillgp1 momentgp pickandsgp |
Quantlet: | pickandsgpdiag | |
Description: | Vector of Pickands estimator for GP model. |
Usage: | r = pickandsgpdiag (x, k) | |
Input: | ||
x | vector of data | |
k | vector: number of exceedances | |
Output: | ||
r | vector of shape parameters |
library("finance") x=randx("gp",100,1) r=pickandsgpdiag(x,4:100)
Vector containing the estimated shape parameter for the number of extremes provided in k.