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 pickandsgp momentgp mlegp

Quantlet: fittail
Description: transforms location and scale parameter of GP distribution from fit to exceedances to tail fit.

Usage: {mu, sigma} = fittail (gamma, t, sigmas, k, n)
Input:
gamma scalar, shape parameter
t scalar, truncation point
sigmas scalar, scale parameter of exceedances
n integer, total sample size
k integer, number of exceedances
Output:
mu scalar, transformed location parameter
sigma scalar, transformed scale parameter

Note:

Library: finance
See also: dpgp pickandsgp momentgp mlegp

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