data2normpoly: Estimation of normal-polynomial quantile mixture

In Lmoments: L-Moments and Quantile Mixtures

Description

Estimates the parameters of normal-polynomial quantile mixture from data or from L-moments

Usage

data2normpoly4(data)
lmom2normpoly4(lmom)
data2normpoly6(data)
lmom2normpoly6(lmom)

Arguments

data	matrix or data frame
lmom	vector or matrix of L-moments

Value

vector or matrix containing the four or six parameters of normal-polynomial quantile mixture

Author(s)

Juha Karvanen [e-mail]

References

Karvanen, J. 2006. Estimation of quantile mixtures via L-moments and trimmed L-moments, Computational Statistics & Data Analysis 51, (2), 947–959. http://www.bsp.brain.riken.jp/publications/2006/karvanen_quantile_mixtures.pdf.

See Also

dnormpoly for L-moments, dnormpoly for the normal-polynomial quantile mixture and data2cauchypoly4 for the estimation of Cauchy-polynomial quantile mixture.

Examples

#Generates a sample 500 observations from the normal-polynomial quantile mixture, 
#calculates L-moments and their covariance matrix,
#estimates parameters via L-moments and 
#plots the true pdf and the estimated pdf together with the histogram of the data.
true_params<-lmom2normpoly4(c(0,1,0.2,0.05));
x<-rnormpoly(500,true_params);
lmoments<-Lmoments(x);
lmomcov<-Lmomcov(x);
estim_params<-lmom2normpoly4(lmoments);
hist(x,30,freq=FALSE);
plotpoints<-seq(min(x)-1,max(x)+1,by=0.01);
lines(plotpoints,dnormpoly(plotpoints,estim_params),col='red');
lines(plotpoints,dnormpoly(plotpoints,true_params),col='blue');

Example output

Lmoments documentation built on May 2, 2019, 2:04 a.m.