 Orthogonal shape and scale for a generalized Pareto distribution

For the positive-shape generalized Pareto distribution with shape $\psi >0$ and scale $\sigma >0$, the expected Fisher information matrix for one observation isThe orthogonalization equation for two statistical parameters gives ${\partial }_{\psi }\sigma =-\sigma /(1+\psi )$ at fixed new nuisance coordinate. Thus $\eta =\sigma (1+\psi )$ is a global interest-respecting reparametrization. In coordinates $(\psi ,\eta )$, the information is diagonal with entries $(1+\psi {)}^{-2}$ and $[{\eta }^2(1+2\psi ){]}^{-1}$.