mev (version 1.11)

gpdr.temstat: Tangent exponential model statistics for the generalized Pareto distribution (return level)

Description

Vector implementing conditioning on approximate ancillary statistics for the TEM

Canonical parameter in the local exponential family approximation

Derivative of the canonical parameter \(\phi(\theta)\) in the local exponential family approximation

Usage

gpdr.Vfun(par, dat, m)
gpdr.phi(par, dat, V, m)
gpdr.dphi(par, dat, V, m)

Arguments

par

vector of length 2 containing \(y_m\) and \(\xi\), respectively the \(m\)-year return level and the shape parameter.

dat

sample vector

m

number of observations of interest for return levels. See Details

V

vector calculated by gpdr.Vfun

See Also

gpdr

gpdr