| Library: | finance |
| See also: | pickandsgp dpgp mlegp0 hillgp1 momentgp mlegpdiag |
| Macro: | mlegp | |
| Description: | Maximum likelihood estimator for GP model |
| Usage: | {gamma, mu, sigma} = mlegp(x, k) | |
| Input: | ||
| x | vector | |
| k | integer, number of upper extremes | |
| Output: | ||
| gamma | scalar, estimated shape parameter | |
| mu | scalar, estimated location parameter | |
| sigma | scalar, estimated scale parameter | |
library("finance")
x=randx("gp",100,1)
m=mlegp(x,50)
m
Contents of m.gamma [1,] 1.1339 Contents of m.mu [1,] 0.05342 Contents of m.sigma [1,] 0.93523
| Library: | finance |
| See also: | pickandsgp dpgp mlegp0 hillgp1 momentgp mlegpdiag |