gldist: An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution.

The generalized lambda distribution (GLD) is a versatile distribution that can accommodate a wide range of shapes, including fat-tailed and asymmetric distributions. This package implements a more intuitive parameterization of the GLD that expresses the location and scale parameters directly as the median and inter-quartile range of the distribution. The remaining two shape parameters characterize the asymmetry and steepness of the distribution respectively. The fitting of the GLD to empirical data can be reduced to a two-parameter estimation problem where the location and scale parameters are estimated by their robust sample estimators. Moreover, the parameterization can be used to compare data sets in a convenient asymmetry and steepness shape plot. The underline C routines are written such that compilers that support vectorized mathematical operations can automatically vectorize the most time consuming loops (tested with icc 12.1.0). The package includes the usual distribution functions, fitting routines and a shape plot function.

Author
Yohan Chalabi and Diethelm Wuertz
Date of publication
2012-04-02 17:59:04
Maintainer
Yohan Chalabi <chalabi@phys.ethz.ch>
License
GPL-2 | GPL-3
Version
2160.2

View on CRAN

Man pages

fitgl
Fitting of the Generalized Lambda Distribution.
gl
An Asymmetry-Steepness Parameterization of the Generalized...
gldist-package
An Asymmetry-Steepness Parameterization of the Generalized...
glshapeplot
Plot fitted shape parameters of the Generalized Lambda...
params
Parameter conversion for the FKML and CSW parameterization.

Files in this package

gldist
gldist/MD5
gldist/tests
gldist/tests/doRUnit.R
gldist/src
gldist/src/rgl.c
gldist/src/qgl.c
gldist/src/qdgl.c
gldist/src/pgl.c
gldist/src/params.c
gldist/src/Makevars
gldist/src/gldist.h
gldist/src/dgl.c
gldist/R
gldist/R/zzz.R
gldist/R/rgl.R
gldist/R/qgl.R
gldist/R/qdgl.R
gldist/R/pgl.R
gldist/R/params.R
gldist/R/glshapeplot.R
gldist/R/fitgl.R
gldist/R/dgl.R
gldist/NAMESPACE
gldist/man
gldist/man/params.Rd
gldist/man/glshapeplot.Rd
gldist/man/gldist-package.Rd
gldist/man/gl.Rd
gldist/man/fitgl.Rd
gldist/inst
gldist/inst/unitTests
gldist/inst/unitTests/runTests.R
gldist/inst/unitTests/runit.rgl.R
gldist/inst/unitTests/runit.qgl.R
gldist/inst/unitTests/runit.qdgl.R
gldist/inst/unitTests/runit.pgl.R
gldist/inst/unitTests/runit.dgl.R
gldist/DESCRIPTION
gldist/ChangeLog