gpde.infomat {mev} | R Documentation |
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 |
dat |
sample vector |
m |
number of observations of interest for return levels. See Details |
method |
string indicating whether to use the expected ( |
nobs |
number of observations |
See Also
[Package mev version 1.17 Index]