gpde.temstat: Tangent exponential model statistics for the generalized...
In mev: Modelling of Extreme Values
gpde.temstat R Documentation
Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)
Description
Vector implementing conditioning on approximate ancillary statistics for the TEM
Usage
gpde.Vfun(par, dat, m)
gpde.phi(par, dat, V, m)
gpde.dphi(par, dat, V, m)
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
V
vector calculated by gpde.Vfun
See Also
gpde
mev documentation built on Sept. 11, 2024, 8:14 p.m.
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| gpde.temstat | R Documentation |
Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)
Description
Vector implementing conditioning on approximate ancillary statistics for the TEM
Usage
gpde.Vfun(par, dat, m)
gpde.phi(par, dat, V, m)
gpde.dphi(par, dat, V, m)
Arguments
par |
vector of length 2 containing |
dat |
sample vector |
m |
number of observations of interest for return levels. See Details |
V |
vector calculated by |
See Also
gpde
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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