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: lrseev

Macro: mleev0
Description: Maximum likelihood estimator for Gumbel (EV0) model

Usage: {mu, sigma} = mleev0 (x)
Input:
x vector
Output:
mu scalar, estimated location parameter
sigma scalar, estimated scale parameter

Example:
library("finance")
randomize(0)
x=randx("ev0",100)
m=mleev0(x)
m
Result:
Contents of m.mu
[1,] -0.18003
Contents of m.sigma
[1,]   1.1118 

Library: finance
See also: lrseev

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, 17.8.2000