mev (version 1.11)

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

Description

Vector implementing conditioning on approximate ancillary statistics for the TEM

Canonical parameter in the local exponential family approximation

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