Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)

Vector implementing conditioning on approximate ancillary statistics for the TEM

Usage

gpde.Vfun(par, dat, m)

gpde.phi(par, dat, V, m)

gpde.dphi(par, dat, V, 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

V

vector calculated by gpde.Vfun

See also

gpde