gpde.score {mev}R Documentation

Score vector for the GP distribution (expected shortfall)

Description

Score vector for the GP distribution (expected shortfall)

Usage

gpde.score(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


[Package mev version 1.17 Index]