Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization) — gpdN.temstat • mev

Vector implementing conditioning on approximate ancillary statistics for the TEM

Usage

gpdN.Vfun(par, dat, N)

gpdN.phi(par, dat, N, V)

gpdN.dphi(par, dat, N, V)

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.
V: vector calculated by gpdN.Vfun

See also