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

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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.

Author
Steve 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 publication
2016-07-27 23:56:30
Maintainer
Steve Su <allegro.su@gmail.com>
License
GPL (>= 3)
Version
2.0.0.4

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