Information matrix for the generalized Pareto distribution

The function returns the expected or observed information matrix.

Usage

gpd.infomat(par, dat, method = c("obs", "exp"), nobs = length(dat))

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.

nobs

number of observations

See also

gpd