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 dpgp mlegp hillgp1 momentgp

Macro: mlegp0
Description: Maximum likelihood estimator for exponential (GP0) model

Usage: {mu, sigma} = mlegp0 (x, k)
Input:
x vector
k integer, number of upper extremes
Output:
mu scalar, estimated location parameter
sigma scalar, estimated scale parameter

Example:
library("finance")
randomize(0) 
x=randx("gp0",100)
m=mlegp0(x,50)
m
Result:
Contents of m.mu
[1,] -0.15354
Contents of m.sigma
[1,]   1.0401

Library: finance
See also: pickandsgp dpgp mlegp hillgp1 momentgp

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