Observed information matrix for the GP distribution (expected shortfall)

The information matrix is parametrized in terms of excess expected shortfall and shape

Usage

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

Arguments

par

vector of length 2 containing \(e_m\) and \(\xi\), respectively the expected shortfall at probability 1/(1-\(\alpha\)) and the shape parameter.

dat

sample vector

m

number of observations of interest for return levels. See Details

method

string indicating whether to use the expected ('exp') or the observed ('obs' - the default) information matrix.

nobs

number of observations

See also

gpde