| Library: | finance |
| See also: | mlegp |
| Macro: | mlegpdiag | |
| Description: | Diagram of maximum likelihood estimator for GP model. |
| Usage: | r = mlegpdiag (x, k) | |
| Input: | ||
| x | vector | |
| k | vector, number of exceedances | |
| Output: | ||
| r | vector with shape parameters | |
library("finance")
x=randx("gp",100,1)
r=mlegpdiag(x,8:100)
Vector with estimated shape parameter for all number of extremes provided in k
| Library: | finance |
| See also: | mlegp |