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

Files in this package

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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