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

Macro: dpgpdiag
Description: Diagram of Drees-Pickands estimator for GP model

Usage: r = dpgpdiag (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=dpgpdiag(x,4:100)
Result:
Vector with estimated shape parameter for all number of
extremes provided in k

Library: finance
See also: dpgp

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, 28.6.1999