Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

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

gpdN