Negative log likelihood of the generalized Pareto distribution (expected shortfall)

Negative log likelihood of the generalized Pareto distribution (expected shortfall)

Negative log likelihood of the generalized Pareto distribution (expected shortfall) - optimization The negative log likelihood is parametrized in terms of log expected shortfall and shape in order to perform unconstrained optimization

Usage

gpde.ll(par, dat, m)

gpde.ll.optim(par, dat, m)

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

See also

gpde