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: mleev0 lrseev

Quantlet: mleev
Description: Maximum likelihood estimator for EV model

Usage: {gamma, mu, sigma} = mleev (x)
Input:
x vector
Output:
gamma scalar, estimated shape parameter
mu scalar, estimated location parameter
sigma scalar, estimated scale parameter

Example:

library("finance")

randomize(0)

x=randx("ev",100,1)

m=mleev(x)

m

Result:

Contents of m.gamma

[1,]  0.071478

Contents of m.mu

[1,]  -12.021

Contents of m.sigma

[1,]   34.671 


Library: finance
See also: mleev0 lrseev

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