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 mlegp mlegp0 hillgp1 momentgp pickandsgpdiag

Macro: pickandsgp
Description: Pickands estimator for GP model.

Usage: {gamma,mu,sigma} = pickandsgp(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=pickandsgp(x,50)
m
Result:
Contents of m.gamma
[1,]   1.6768 
Contents of m.mu
[1,]  0.34883 
Contents of m.sigma
[1,]  0.31658  

Library: finance
See also: dpgp mlegp mlegp0 hillgp1 momentgp pickandsgpdiag

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