| Library: | finance |
| See also: | dpgp pickandsgp momentgp |
| Quantlet: | gpsigmaest | |
| Description: | estimator for scale parameter within GP models |
| Usage: | sigma = gpsigmaest (gamma, y) | |
| Input: | ||
| gamma | scalar, shape parameter | |
| y | vector, exceedances above threshold | |
| Output: | ||
| sigma | scalar, estimated scale parameter | |
| Library: | finance |
| See also: | dpgp pickandsgp momentgp |