gpde.infomat: Observed information matrix for the GP distribution (expected shortfall)

Description

The information matrix is parametrized in terms of rate of expected shortfall and shape

Usage

1
gpde.infomat(par, dat, m)

Arguments

par

vector of length 2 containing y_m and ΞΎ, respectively the m-year return level and the shape parameter.

dat

sample vector

m

number of observations of interest for return levels. See Details

See Also

gpde


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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