Information matrix of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

Information matrix of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

Usage

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

Arguments

par

vector of length 2 containing \(z\) and \(\xi\), respectively the mean excess of the maxima of N exceedances above the threshold and the shape parameter.

dat

sample vector

N

block size for threshold exceedances.

See also

gpdN