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: dpgp dpgpdiag

Quantlet: dpgpgamma
Description: Shape parameter of Drees-Pickands estimator.

Usage: gamma = dpgpgamma (x, k)
Input:
x vector
k scalar, number of upper extremes
Output:
gamma scalar, estimated shape parameter

Note:

Library: finance
See also: dpgp dpgpdiag

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, 21.9.2000