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

In GLDEX: Fitting Single and Mixture of Generalised Lambda Distributions

Fit FMKL generalised lambda distribution to data set using L moment matching

Description

This function fits FMKL generalised lambda distribution to data set using L moment matching

Usage

fun.RMFMKL.lm(data, fmkl.init = c(-0.25, 1.5), leap = 3, FUN = "runif.sobol", 
no = 10000)

Arguments

data	Dataset to be fitted
fmkl.init	Initial values for FMKL distribution optimization, c(-0.25,1.5) tends to work well.
leap	See scrambling argument in fun.gen.qrn.
FUN	A character string of either "runif.sobol" (default), "runif.sobol.owen", "runif.halton" or "QUnif".
no	Number of initial random values to find the best initial values for optimisation.

Details

This function provides method of L moment fitting scheme for FMKL GLD. Note this function can fail if there are no defined percentiles from the data set or if the initial values do not lead to a valid FMKL generalised lambda distribution.

This function is based on scheme detailed in the literature below but it has been modified by the author (Steve Su).

Value

A vector representing four parametefmkl of the FMKL generalised lambda distribution.

Author(s)

Steve Su

References

Asquith, W. (2007). "L-moments and TL-moments of the generalized lambda distribution." Computational Statistics and Data Analysis 51(9): 4484-4496.

Karvanen, J. and A. Nuutinen (2008). "Characterizing the generalized lambda distribution by L-moments." Computational Statistics and Data Analysis 52(4): 1971-1983.

See Also

fun.RMFMKL.ml, fun.RMFMKL.mm, fun.RMFMKL.qs, fun.data.fit.ml fun.data.fit.lm, fun.data.fit.qs, fun.data.fit.mm

Examples

# Fitting the normal distribution
 fun.RMFMKL.lm(data=rnorm(1000,2,3),fmkl.init=c(-0.25,1.5),leap=3)

GLDEX documentation built on Aug. 21, 2023, 9:08 a.m.