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: hillgp1

Quantlet: hillgp1diag
Description: Vector of Hill estimator for GP1 model

Usage: r = hillgp1diag (x, k)
Input:
x vector
k vector, number of exceedances
Output:
r vector with shape parameters

Example:

library("finance")

x=randx("gp1",100,1)

r=hillgp1diag(x,2:100)

Result:

Vector with estimated shape parameter for all number of

extremes provided in k


Library: finance
See also: hillgp1

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