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

In GLDEX: Fitting Single and Mixture of Generalised Lambda Distributions

Fit FMKL generalised lambda distribution to data set using quantile matching

Description

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

Usage

fun.RMFMKL.qs(data, fmkl.init = c(-0.25, 1.5), leap = 3, FUN = "runif.sobol", 
trial.n = 100, len = 1000, type = 7, 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".
trial.n	Number of evenly spaced quantile ranging from 0 to 1 to be used in the checking phase, to find the best set of initial values for optimisation, this is intended to be lower than len to speed up the fitting algorithm. Default is 100.
len	Number of evenly spaced quantile ranging from 0 to 1 to be used, default is 1000
type	Type of quantile to be used, default is 7, see quantile
no	Number of initial random values to find the best initial values for optimisation.

Details

This function provides quantile matching 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.

Value

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

Author(s)

Steve Su

References

Su (2008). Fitting GLD to data via quantile matching method. (Book chapter to appear)

See Also

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

Examples

# Fitting the normal distribution
 fun.RMFMKL.qs(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.