GLDEX: Fitting Single and Mixture of Generalised Lambda Distributions (RS and FMKL) using Various Methods

The fitting algorithms considered in this package have two major objectives. One is to provide a smoothing device to fit distributions to data using the weight and unweighted discretised approach based on the bin width of the histogram. The other is to provide a definitive fit to the data set using the maximum likelihood and quantile matching estimation. Other methods such as moment matching, starship method, L moment matching are also provided. Diagnostics on goodness of fit can be done via qqplots, KS-resample tests and comparing mean, variance, skewness and kurtosis of the data with the fitted distribution.

AuthorSteve Su, with contributions from: Diethelm Wuertz, Martin Maechler and Rmetrics core team members for low discrepancy algorithm, Juha Karvanen for L moments codes, Robert King for gld C codes and starship codes, Benjamin Dean for corrections and input in ks.gof code and R core team for histsu function.
Date of publication2016-12-26 10:34:21
MaintainerSteve Su <allegro.su@gmail.com>
LicenseGPL (>= 3)
Version2.0.0.5

View on CRAN

Man pages

085A-LowDiscrepancy: Low Discrepancy Sequences

digitsBase: Digit/Bit Representation of Integers in any Base

fittingfunctions: This is a collection of functions designed to implement the...

FMKLfittingandbasicfunctions: This is a collection of functions designed to find the...

fun.auto.bimodal.ml: Fitting mixture of generalied lambda distribtions to data...

fun.auto.bimodal.pml: Fitting mixture of generalied lambda distribtions to data...

fun.auto.bimodal.qs: Fitting mixtures of generalied lambda distribtions to data...

fun.beta: This is a collection of functions used in the calculation of...

fun.bimodal.fit.ml: Finds the final fits using the maximum likelihood estimation...

fun.bimodal.fit.pml: Finds the final fits using partition maximum likelihood...

fun.bimodal.init: Finds the initial values for optimisation in fitting the...

fun.check.gld: Check whether the RS or FMKL/FKML GLD is a valid GLD for...

fun.check.gld.multi: Check whether the RS or FMKL/FKML GLD is a valid GLD for...

fun.class.regime.bi: Classifies data into two groups using a clustering regime.

fun.comp.moments.ml: Compare the moments of the data and the fitted univariate...

fun.comp.moments.ml.2: Compare the moments of the data and the fitted univariate...

fun.data.fit.hs: Fit RS and FMKL generalised distributions to data using...

fun.data.fit.hs.nw: Fit RS and FMKL generalised distributions to data using...

fun.data.fit.lm: Fit data using L moment matching estimation for RS and FMKL...

fun.data.fit.ml: Fit data using RS, FMKL maximum likelihood estimation and the...

fun.data.fit.mm: Fit data using moment matching estimation for RS and FMKL GLD

fun.data.fit.qs: Fit data using quantile matching estimation for RS and FMKL...

fun.diag1: Diagnostic function for theoretical distribution fits through...

fun.diag2: Diagnostic function for empirical data distribution fits...

fun.diag.ks.g: Compute the simulated Kolmogorov-Smirnov tests for the...

fun.diag.ks.g.bimodal: Compute the simulated Kolmogorov-Smirnov tests for the...

fun.disc.estimation: Estimates the mean and variance after cutting up a vector of...

fun.gen.qrn: Finds the low discrepancy quasi random numbers

fun.lm.theo.gld: Find the theoretical first four L moments of the generalised...

fun.mApply: Applying functions based on an index for a matrix.

fun.minmax.check.gld: Check whether the specified GLDs cover the minimum and the...

fun.moments.bimodal: Finds the moments of fitted mixture of generalised lambda...

fun.moments.r: Calculate mean, variance, skewness and kurtosis of a...

fun.nclass.e: Estimates the number of classes or bins to smooth over in the...

fun.plot.fit: Plotting the univariate generalised lambda distribution fits...

fun.plot.fit.bm: Plotting mixture of two generalised lambda distributions on...

fun.plot.many.gld: Plotting many univariate generalised lambda distributions on...

fun.rawmoments: Computes the raw moments of the generalised lambda...

fun.RMFMKL.hs: Fit FMKL generalised distribution to data using discretised...

fun.RMFMKL.hs.nw: Fit FMKL generalised distribution to data using discretised...

fun.RMFMKL.lm: Fit FMKL generalised lambda distribution to data set using L...

fun.RMFMKL.ml: Fit FMKL generalised lambda distribution to data set using...

fun.RMFMKL.ml.m: Fit RS generalised lambda distribution to data set using...

fun.RMFMKL.mm: Fit FMKL generalised lambda distribution to data set using...

fun.RMFMKL.qs: Fit FMKL generalised lambda distribution to data set using...

fun.RPRS.hs: Fit RS generalised distribution to data using discretised...

fun.RPRS.hs.nw: Fit RS generalised distribution to data using discretised...

fun.RPRS.lm: Fit RS generalised lambda distribution to data set using L...

fun.RPRS.ml: Fit RS generalised lambda distribution to data set using...

fun.RPRS.ml.m: Fit RS generalised lambda distribution to data set using...

fun.RPRS.mm: Fit RS generalised lambda distribution to data set using...

fun.RPRS.qs: Fit RS generalised lambda distribution to data set using...

fun.simu.bimodal: Simulate a mixture of two generalised lambda distributions.

fun.theo.bi.mv.gld: Calculates the theoretical mean, variance, skewness and...

fun.theo.mv.gld: Find the theoretical first four moments of the generalised...

fun.which.zero: Determine which values are zero.

fun.zero.omit: Returns a vector after removing all the zeros.

gl.check.lambda.alt: Checks whether the parameters provided constitute a valid...

gl.check.lambda.alt1: Checks whether the parameters provided constitute a valid...

GLDEX.package: This package fits RS and FMKL generalised lambda...

GLDfunctions: The Generalised Lambda Distribution Family

hiddenfunctions: This is a collection of functions designed to implement the...

histsu: Histogram with exact number of bins specified by the user

is.inf: Returns a logical vecto, TRUE if the value is Inf or -Inf.

is.notinf: Returns a logical vector TRUE, if the value is not Inf or...

ks.gof: Kolmogorov-Smirnov test

Lmoments: L-moments

optimisationfunctions: This is a collection of functions used in the optimisation...

pretty.su: An alternative to the normal pretty function in R.

qqplot.gld: Do a quantile plot on the univariate distribution fits.

qqplot.gld.bi: Do a quantile plot on the bimodal distribution fits.

QUnif: Quasi Randum Numbers via Halton Sequences

RSfittingandbasicfunctions: This is a collection of functions designed to find the...

skewnessandkurtosis: Compute skewness and kurtosis statistics

starship: Carry out the "starship" estimation method for the...

starship.adaptivegrid: Carry out the "starship" estimation method for the...

starship.obj: Objective function that is minimised in starship estimation...

t1lmoments: Trimmed L-moments

which.na: Determine Missing Values

Functions

dgl Man page
digitsBase Man page
fun.auto.bimodal.ml Man page
fun.auto.bimodal.pml Man page
fun.auto.bimodal.qs Man page
fun.auto.mm.fmkl Man page
fun.auto.perc.rs Man page
fun.beta Man page
fun.beta1 Man page
fun.bimodal.fit.ml Man page
fun.bimodal.fit.pml Man page
fun.bimodal.init Man page
fun.check.gld Man page
fun.check.gld.multi Man page
fun.class.regime.bi Man page
fun.comp.moments.ml Man page
fun.comp.moments.ml.2 Man page
fun.data.fit.hs Man page
fun.data.fit.hs.nw Man page
fun.data.fit.lm Man page
fun.data.fit.ml Man page
fun.data.fit.mm Man page
fun.data.fit.qs Man page
fun.diag1 Man page
fun.diag2 Man page
fun.diag.ks.g Man page
fun.diag.ks.g.bimodal Man page
fun.disc.estimation Man page
fun.fit.gl.v2a Man page
fun.fit.gl.v2a.nw Man page
fun.fit.gl.v2b Man page
fun.fit.gl.v2b.nw Man page
fun.fit.gl.v3 Man page
fun.fit.gl.v3a Man page
fun.fit.gl.v3m Man page
fun.fit.gl.v4 Man page
fun.fit.gl.v4a Man page
fun.fit.gl.v6 Man page
fun.fit.gl.v6a Man page
fun.fit.gl.v.lm Man page
fun.fit.gl.v.lma Man page
fun.fix.mean Man page
fun.fmkl Man page
fun.fmkl0 Man page
fun.fmkla Man page
fun.fmklb Man page
fun.fmkl.L30 Man page
fun.fmkl.L40 Man page
fun.fmkl.mm.min Man page
fun.fmkl.mm.sol Man page
fun.fmkl.mm.sol.alt Man page
fun.fmkl.nr Man page
fun.fmkl.sol Man page
fun.gen.qrn Man page
fun.lambda.percentile Man page
fun.Lm.gt.2.fmkl Man page
fun.Lm.gt.2.rs Man page
fun.lm.theo.gld Man page
fun.mApply Man page
fun.minmax.check.gld Man page
fun.moments Man page
fun.moments.bimodal Man page
fun.moments.r Man page
fun.nclass.e Man page
fun.percentile Man page
fun.plot.fit Man page
fun.plot.fit.bm Man page
fun.plot.many.gld Man page
fun.rawmoments Man page
fun.RMFMKL.hs Man page
fun.RMFMKL.hs.nw Man page
fun.RMFMKL.lm Man page
fun.RMFMKL.ml Man page
fun.RMFMKL.ml.m Man page
fun.RMFMKL.mm Man page
fun.RMFMKL.qs Man page
fun.RPRS.hs Man page
fun.RPRS.hs.nw Man page
fun.RPRS.lm Man page
fun.RPRS.ml Man page
fun.RPRS.ml.m Man page
fun.RPRS.mm Man page
fun.RPRS.qs Man page
fun.rsb Man page
fun.rs.nr Man page
fun.rs.perc.gradient Man page
fun.rs.perc.min Man page
fun.rs.perc.sol Man page
fun.rs.perc.sol.alt Man page
fun.simu.bimodal Man page
fun.theo.bi.mv.gld Man page
fun.theo.mv.gld Man page
fun.which.zero Man page
fun.zero.omit Man page
gl.check.lambda.alt Man page
gl.check.lambda.alt1 Man page
GLDEX Man page
GLDEX-package Man page
.gl.parameter.tidy Man page
histsu Man page
is.inf Man page
is.notinf Man page
ks.gof Man page
kurtosis Man page
Lcoefs Man page
Lmomcov Man page
Lmomcov_calc Man page
Lmoments Man page
Lmoments_calc Man page
LowDiscrepancy Man page
optim.fun2 Man page
optim.fun2.nw Man page
optim.fun3 Man page
optim.fun3.C Man page
optim.fun3.C.m Man page
optim.fun4 Man page
optim.fun5 Man page
optim.fun6 Man page
optim.fun7 Man page
optim.fun.bi.final Man page
optim.fun.lm Man page
optim.fun.qs Man page
pgl Man page
pretty.su Man page
qdgl Man page
.qdgl.fmkl Man page
.qdgl.rs Man page
qgl Man page
.qgl.fmkl Man page
.qgl.fmkl Man page
.qgl.rs Man page
qqplot.gld Man page
qqplot.gld.bi Man page
QUnif Man page
rgl Man page
rnorm.halton Man page
rnorm.pseudo Man page
rnorm.sobol Man page
runif.halton Man page
runif.pseudo Man page
runif.sobol Man page
sHalton Man page
skewness Man page
starship Man page
starship.adaptivegrid Man page
starship.obj Man page
t1lmoments Man page
which.na Man page

Files

GLDEX
GLDEX/src
GLDEX/src/GLDEX.c
GLDEX/src/085A-LowDiscrepancy.f
GLDEX/NAMESPACE
GLDEX/R
GLDEX/R/fun.fmkl.mm.sol.alt.R GLDEX/R/optim.fun.qs.R GLDEX/R/fun.fit.gl.v4a.R GLDEX/R/fun.lm.theo.gld.R GLDEX/R/fun.RPRS.qs.R GLDEX/R/fun.fit.gl.v3m.R GLDEX/R/qqplot.gld.R GLDEX/R/fun.fmkl.mm.min.R GLDEX/R/fun.check.gld.multi.R GLDEX/R/fun.data.fit.qs.R GLDEX/R/fun.comp.moments.ml.2.R GLDEX/R/fun.RPRS.hs.nw.R GLDEX/R/gl.check.lambda.alt1.R GLDEX/R/fun.minmax.check.gld.R GLDEX/R/fun.fit.gl.v2b.R GLDEX/R/gl.check.lambda.alt.R GLDEX/R/fun.plot.fit.bm.R GLDEX/R/fun.RMFMKL.ml.m.R GLDEX/R/fun.nclass.e.R GLDEX/R/fun.diag1.R GLDEX/R/fun.fmkl.L40.R GLDEX/R/optim.fun.lm.R GLDEX/R/optim.fun5.R GLDEX/R/fun.RMFMKL.lm.R GLDEX/R/fun.fmkl.L30.R GLDEX/R/fun.theo.mv.gld.R GLDEX/R/fun.check.gld.R GLDEX/R/qdgl.R GLDEX/R/hiddenfunctions.R GLDEX/R/fun.auto.perc.rs.R GLDEX/R/fun.diag.ks.g.bimodal.R GLDEX/R/fun.auto.bimodal.pml.R GLDEX/R/085A-LowDiscrepancy.R GLDEX/R/fun.fit.gl.v2a.R GLDEX/R/fun.gen.qrn.R GLDEX/R/fun.disc.estimation.R GLDEX/R/optim.fun4.R GLDEX/R/fun.RPRS.lm.R GLDEX/R/sHalton.R GLDEX/R/dgl.R GLDEX/R/fun.fmkl.nr.R GLDEX/R/fun.diag.ks.g.R GLDEX/R/fun.zero.omit.R GLDEX/R/starship.R GLDEX/R/fun.rs.perc.min.R GLDEX/R/fun.RPRS.ml.R GLDEX/R/fun.RMFMKL.hs.nw.R GLDEX/R/fun.fmkla.R GLDEX/R/fun.bimodal.fit.ml.R GLDEX/R/fun.fit.gl.v.lm.R GLDEX/R/fun.moments.r.R GLDEX/R/pretty.su.R GLDEX/R/fun.plot.many.gld.R GLDEX/R/optim.fun.bi.final.R GLDEX/R/fun.rs.perc.sol.R GLDEX/R/fun.fmkl0.R GLDEX/R/fun.data.fit.mm.R GLDEX/R/fun.fit.gl.v3.R GLDEX/R/fun.moments.bimodal.R GLDEX/R/fun.data.fit.hs.nw.R GLDEX/R/fun.beta.R GLDEX/R/fun.RPRS.hs.R GLDEX/R/pgl.R GLDEX/R/fun.fmkl.R GLDEX/R/fun.auto.bimodal.ml.R GLDEX/R/fun.auto.mm.fmkl.R GLDEX/R/fun.fit.gl.v2a.nw.R GLDEX/R/fun.mApply.R GLDEX/R/fun.RPRS.ml.m.R GLDEX/R/optim.fun2.nw.R GLDEX/R/fun.RPRS.mm.R GLDEX/R/rgl.R GLDEX/R/fun.class.regime.bi.R GLDEX/R/fun.fit.gl.v3a.R GLDEX/R/fun.fmklb.R GLDEX/R/fun.plot.fit.R GLDEX/R/digitsBase.R GLDEX/R/fun.bimodal.fit.pml.R GLDEX/R/optim.fun6.R GLDEX/R/fun.simu.bimodal.R GLDEX/R/fun.fit.gl.v6.R GLDEX/R/optim.fun2.R GLDEX/R/fun.fit.gl.v2b.nw.R GLDEX/R/fun.RMFMKL.qs.R GLDEX/R/fun.data.fit.lm.R GLDEX/R/fun.fit.gl.v6a.R GLDEX/R/is.notinf.R GLDEX/R/skewness.R GLDEX/R/fun.data.fit.ml.R GLDEX/R/t1lmoments.R GLDEX/R/fun.rawmoments.R GLDEX/R/fun.bimodal.init.R GLDEX/R/histsu.R GLDEX/R/fun.Lm.gt.2.fmkl.R GLDEX/R/optim.fun3.R GLDEX/R/Lmoments.R GLDEX/R/fun.auto.bimodal.qs.R GLDEX/R/fun.comp.moments.ml.R GLDEX/R/fun.moments.R GLDEX/R/fun.RMFMKL.ml.R GLDEX/R/fun.rs.perc.sol.alt.R GLDEX/R/fun.RMFMKL.mm.R GLDEX/R/fun.rsb.R GLDEX/R/fun.beta1.R GLDEX/R/fun.RMFMKL.hs.R GLDEX/R/qgl.R GLDEX/R/fun.fit.gl.v.lma.R GLDEX/R/fun.rs.nr.R GLDEX/R/fun.fmkl.mm.sol.R GLDEX/R/fun.which.zero.R GLDEX/R/optim.fun7.R GLDEX/R/optim.fun3.C.R GLDEX/R/kurtosis.R GLDEX/R/which.na.R GLDEX/R/qqplot.gld.bi.R GLDEX/R/is.inf.R GLDEX/R/fun.percentile.R GLDEX/R/fun.Lm.gt.2.rs.R GLDEX/R/fun.data.fit.hs.R GLDEX/R/fun.rs.perc.gradient.R GLDEX/R/fun.lambda.percentile.R GLDEX/R/ks.gof.R GLDEX/R/optim.fun3.C.m.R GLDEX/R/fun.theo.bi.mv.gld.R GLDEX/R/fun.fit.gl.v4.R GLDEX/R/Lmoments_calc.R GLDEX/R/fun.diag2.R GLDEX/R/QUnif.R
GLDEX/MD5
GLDEX/README
GLDEX/DESCRIPTION
GLDEX/man
GLDEX/man/fun.RPRS.ml.Rd GLDEX/man/FMKLfittingandbasicfunctions.Rd GLDEX/man/fun.plot.many.gld.Rd GLDEX/man/qqplot.gld.bi.Rd GLDEX/man/085A-LowDiscrepancy.Rd GLDEX/man/Lmoments.Rd GLDEX/man/fun.diag.ks.g.Rd GLDEX/man/fun.theo.mv.gld.Rd GLDEX/man/QUnif.Rd GLDEX/man/fun.plot.fit.Rd GLDEX/man/fun.auto.bimodal.ml.Rd GLDEX/man/fun.beta.Rd GLDEX/man/GLDEX.package.Rd GLDEX/man/fun.moments.bimodal.Rd GLDEX/man/fun.data.fit.mm.Rd GLDEX/man/fun.RMFMKL.mm.Rd GLDEX/man/gl.check.lambda.alt1.Rd GLDEX/man/skewnessandkurtosis.Rd GLDEX/man/fun.data.fit.lm.Rd GLDEX/man/is.notinf.Rd GLDEX/man/t1lmoments.Rd GLDEX/man/fun.auto.bimodal.qs.Rd GLDEX/man/fun.moments.r.Rd GLDEX/man/fun.lm.theo.gld.Rd GLDEX/man/is.inf.Rd GLDEX/man/fun.RMFMKL.ml.m.Rd GLDEX/man/fun.plot.fit.bm.Rd GLDEX/man/optimisationfunctions.Rd GLDEX/man/histsu.Rd GLDEX/man/fun.rawmoments.Rd GLDEX/man/fun.zero.omit.Rd GLDEX/man/starship.obj.Rd GLDEX/man/fun.RMFMKL.ml.Rd GLDEX/man/fun.data.fit.hs.Rd GLDEX/man/fun.diag2.Rd GLDEX/man/fittingfunctions.Rd GLDEX/man/fun.RMFMKL.hs.nw.Rd GLDEX/man/fun.mApply.Rd GLDEX/man/fun.which.zero.Rd GLDEX/man/fun.bimodal.fit.ml.Rd GLDEX/man/RSfittingandbasicfunctions.Rd GLDEX/man/fun.nclass.e.Rd GLDEX/man/fun.RPRS.lm.Rd GLDEX/man/fun.theo.bi.mv.gld.Rd GLDEX/man/ks.gof.Rd GLDEX/man/fun.RPRS.qs.Rd GLDEX/man/fun.RMFMKL.hs.Rd GLDEX/man/fun.comp.moments.ml.Rd GLDEX/man/fun.auto.bimodal.pml.Rd GLDEX/man/fun.RPRS.hs.Rd GLDEX/man/fun.simu.bimodal.Rd GLDEX/man/GLDfunctions.Rd GLDEX/man/fun.RMFMKL.qs.Rd GLDEX/man/fun.gen.qrn.Rd GLDEX/man/fun.RPRS.mm.Rd GLDEX/man/fun.data.fit.hs.nw.Rd GLDEX/man/fun.check.gld.multi.Rd GLDEX/man/fun.minmax.check.gld.Rd GLDEX/man/fun.RPRS.ml.m.Rd GLDEX/man/fun.class.regime.bi.Rd GLDEX/man/gl.check.lambda.alt.Rd GLDEX/man/fun.diag1.Rd GLDEX/man/fun.disc.estimation.Rd GLDEX/man/which.na.Rd GLDEX/man/pretty.su.Rd GLDEX/man/qqplot.gld.Rd GLDEX/man/starship.adaptivegrid.Rd GLDEX/man/fun.RPRS.hs.nw.Rd GLDEX/man/fun.comp.moments.ml.2.Rd GLDEX/man/fun.bimodal.fit.pml.Rd GLDEX/man/digitsBase.Rd GLDEX/man/fun.data.fit.qs.Rd GLDEX/man/starship.Rd GLDEX/man/hiddenfunctions.Rd GLDEX/man/fun.check.gld.Rd GLDEX/man/fun.bimodal.init.Rd GLDEX/man/fun.data.fit.ml.Rd GLDEX/man/fun.RMFMKL.lm.Rd GLDEX/man/fun.diag.ks.g.bimodal.Rd

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