| 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.