Firth's modified score equation for the generalized Pareto distribution

Firth's modified score equation for the generalized Pareto distribution

Usage

gpd.Fscore(par, dat, method = c("obs", "exp"))

Arguments

par

vector of scale and shape

dat

sample vector

method

string indicating whether to use the expected ('exp') or the observed ('obs' - the default) information matrix.

References

Firth, D. (1993). Bias reduction of maximum likelihood estimates, Biometrika, 80(1), 27–38.

See also

gpd, gpd.bcor