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

Description Usage Arguments See Also

View source: R/univdist.R

Description

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

Usage

1
gpde.infomat(par, dat, m, method = c("obs", "exp"), nobs = length(dat))

Arguments

par

vector of length 2 containing e_m and ξ, respectively the expected shortfall at probability 1/(1-α) 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 Feb. 23, 2018, 1 a.m.