| Library: | finance |
| See also: | pickandsgp mlegp mlegp0 hillgp1 dpgp momentgpdiag |
| Quantlet: | momentgp | |
| Description: | Moment estimator for GP model. |
| Usage: | {gamma, mu, sigma} = momentgp (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")
randomize(0)
x=randx("gp",100,1)
m=momentgp(x,50)
m
Contents of m.gamma [1,] 1.401 Contents of m.mu [1,] 0.2003 Contents of m.sigma [1,] 0.48101
| Library: | finance |
| See also: | pickandsgp mlegp mlegp0 hillgp1 dpgp momentgpdiag |