Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: pickandsgp mlegp mlegp0 dpgp momentgp hillgp1diag

Macro: hillgp1
Description: Hill estimator for GP1 model.

Usage: {alpha, sigma} = hillgp1 (x, k)
Input:
x vector
k integer, number of upper extremes
Output:
alpha scalar, estimated shape parameter
sigma scalar, estimated scale parameter

Example:
library("finance")
x=randx("gp1",100,1)
m=hillgp1(x,50)
m
Result:
Contents of m.alpha
[1,]   0.96147
Contents of m.sigma
[1,]  0.95767

Library: finance
See also: pickandsgp mlegp mlegp0 dpgp momentgp hillgp1diag

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Michael Thomas 990503
(C) MD*TECH Method and Data Technologies, 28.6.1999