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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# gldMED Returns true GLD median
# gldIQR Returns true GLD inter quartal range
# gldSKEW Returns true GLD robust skewness
# gldKURT Returns true GLD robust kurtosis
################################################################################
gldMED <-
function(lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true gld median
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# FUNCTION:
# gld Median
Q = qgld(p=0.5, lambda1, lambda2, lambda3, lambda4)
med = c(MED = Q)
# Return Value:
med
}
# ------------------------------------------------------------------------------
gldIQR <-
function(lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true gld inter quartal range
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# FUNCTION:
# gld Inter Quartile Range
Q = numeric()
Q[1] = qgld(p=0.25, lambda1, lambda2, lambda3, lambda4)
Q[2] = qgld(p=0.75, lambda1, lambda2, lambda3, lambda4)
iqr = c(IQR = Q[[2]] - Q[[1]])
# Return Value:
iqr
}
# ------------------------------------------------------------------------------
gldSKEW <-
function(lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true gld robust gld skewness
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# FUNCTION:
# gld Robust Skewness:
Q = numeric()
Q[1] = qgld(p=0.25, lambda1, lambda2, lambda3, lambda4)
Q[2] = qgld(p=0.50, lambda1, lambda2, lambda3, lambda4)
Q[3] = qgld(p=0.75, lambda1, lambda2, lambda3, lambda4)
skew = c(SKEW = ( Q[[3]] + Q[[1]] - 2* Q[[2]] ) / (Q[[3]] - Q[[1]] ) )
# Return Value:
skew
}
# ------------------------------------------------------------------------------
gldKURT <-
function(lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
{
# A function implemented by Diethelm Wuertz
# Description:
# Returns true gld robust gld kurtosis
# Arguments:
# lambda1 - a numeric value, the location parameter
# lambda2 - a numeric value, the scale parameter
# lambda3 - a numeric value, the first shape parameter
# lambda4 - a numeric value, the second parameter
# FUNCTION:
# gld Robust Kurtosis:
Q = numeric()
for (p in (1:7)/8) Q = c(Q, qgld(p, lambda1, lambda2, lambda3, lambda4))
kurt = c(KURT = (Q[[7]] - Q[[5]] + Q[[3]] - Q[[1]]) / (Q[[6]] - Q[[2]]))
# Return Value:
kurt
}
################################################################################
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