Library: | finance |
See also: | dpgp dpgpdiag |
Quantlet: | dpgpgamma | |
Description: | Shape parameter of Drees-Pickands estimator. |
Usage: | gamma = dpgpgamma (x, k) | |
Input: | ||
x | vector | |
k | scalar, number of upper extremes | |
Output: | ||
gamma | scalar, estimated shape parameter |
Library: | finance |
See also: | dpgp dpgpdiag |