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 hillgp1 momentgp dpgpdiag

Quantlet: dpgp
Description: Drees-Pickands estimator for GP model.

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

Example:

library("finance")

randomize(0)

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

m=dpgp(x,50)

m

Result:

Contents of m.gamma

[1,]   1.5921 

Contents of m.mu

[1,]  0.31505 

Contents of m.sigma

[1,]  0.35449 


Library: finance
See also: pickandsgp mlegp mlegp0 hillgp1 momentgp 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