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

In mev: Modelling of Extreme Values

Observed information matrix for the GP distribution (expected shortfall)

Description

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

Usage

gpde.infomat(par, dat, m, method = c("obs", "exp"), nobs = length(dat))

Arguments

par	vector of length 2 containing e_m and \xi, respectively the expected shortfall at probability 1/(1-\alpha) and the shape parameter.
dat	sample vector
m	number of observations of interest for return levels. See Details
method	string indicating whether to use the expected ('exp') or the observed ('obs' - the default) information matrix.
nobs	number of observations

See Also

gpde

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