cdfgno: Generalized normal distribution
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cdfgno

R Documentation

Generalized normal distribution

Description

Distribution function and quantile function of the generalized normal distribution.

Usage

cdfgno(x, para = c(0, 1, 0))
quagno(f, para = c(0, 1, 0))

Arguments

`x`	Vector of quantiles.
`f`	Vector of probabilities.
`para`	Numeric vector containing the parameters of the distribution, in the order `\xi, \alpha, k` (location, scale, shape).

Details

The generalized normal distribution with location parameter \xi, scale parameter \alpha and shape parameter k has distribution function

F(x)=\Phi(y)

where

y=-k^{-1}\log\lbrace1-k(x-\xi)/\alpha\rbrace

and \Phi(y) is the distribution function of the standard normal distribution, with x bounded by \xi+\alpha/k from below if k<0 and from above if k>0.

The generalized normal distribution contains as special cases the usual three-parameter lognormal distribution, corresponding to k<0, with a finite lower bound and positive skewness; the normal distribution, corresponding to k=0; and the reverse lognormal distribution, corresponding to k>0, with a finite upper bound and negative skewness. The two-parameter lognormal distribution, with a lower bound of zero and positive skewness, is obtained when k<0 and \xi+\alpha/k=0.

Value

cdfgno gives the distribution function; quagno gives the quantile function.

Note

The functions expect the distribution parameters in a vector, rather than as separate arguments as in the standard R distribution functions pnorm, qnorm, etc.

Examples

# Random sample from the generalized normal distribution
# with parameters xi=0, alpha=1, k=-0.5.
quagno(runif(100), c(0,1,-0.5))

# The generalized normal distribution with parameters xi=1, alpha=1, k=-1,
# is the standard lognormal distribution.  An illustration:
fval<-seq(0.1,0.9,by=0.1)
cbind(fval, lognormal=qlnorm(fval), g.normal=quagno(fval, c(1,1,-1)))

lmom documentation built on Oct. 1, 2024, 1:08 a.m.