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

Quantlet: pickandsgpdiag
Description: Vector of Pickands estimator for GP model.

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

Example:

library("finance")

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

r=pickandsgpdiag(x,4:100)

Result:

Vector with estimated shape parameter for all number of

extremes provided in k


Library: finance
See also: pickandsgp

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