| Library: | finance |
| See also: | dpgp |
| Macro: | dpgpdiag | |
| Description: | Vector of Drees-Pickands estimator for GP model |
| Usage: | r = dpgpdiag (x, k) | |
| Input: | ||
| x | vector | |
| k | vector, number of exceedances | |
| Output: | ||
| r | vector with shape parameters | |
library("finance")
x=randx("gp",100,1)
r=dpgpdiag(x,4:100)
r
Vector with estimated shape parameter for all number of extremes provided in k
| Library: | finance |
| See also: | dpgp |