gpd.Fscore: Firth's modified score equation for the generalized Pareto...

In mev: Modelling of Extreme Values

Firth's modified score equation for the generalized Pareto distribution

Description

Firth's modified score equation for the generalized Pareto distribution

Usage

gpd.Fscore(par, dat, method = c("obs", "exp"))

Arguments

par	vector of scale and shape
dat	sample vector
method	string indicating whether to use the expected ('exp') or the observed ('obs' - the default) information matrix.

References

Firth, D. (1993). Bias reduction of maximum likelihood estimates, Biometrika, 80(1), 27–38.

See Also

gpd, gpd.bcor

mev documentation built on Sept. 11, 2024, 8:14 p.m.