Cox-Snell first order bias expression for the generalized Pareto distribution

Bias vector for the GP distribution based on an n sample.

Usage

gpd.bias(par, n)

Arguments

par

vector of scale and shape

n

sample size

References

Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values, Springer, 209 p.

Cox, D. R. and E. J. Snell (1968). A general definition of residuals, Journal of the Royal Statistical Society: Series B (Methodological), 30, 248–275.

Cordeiro, G. M. and R. Klein (1994). Bias correction in ARMA models, Statistics and Probability Letters, 19(3), 169–176.

Giles, D. E., Feng, H. and R. T. Godwin (2016). Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution, Communications in Statistics - Theory and Methods, 45(8), 2465–2483.

See also

gpd, gpd.bcor