estimatep: Estimation of p

In normalp: Routines for Exponential Power Distribution

Estimation of p

Description

The estimatep function estimates the shape parameter p from a vector of observations.

Usage

estimatep(x, mu, p=2, method=c("inverse","direct"))

Arguments

x	Vector of observations.
mu	An estimate of the location parameter.
p	Starting value of the shape parameter.
method	Method used to estimate p from a sample.

Details

The used algorithm is based on a method proposed by A.M. Mineo (1994), which uses a particular index of kurtosis, called VI

VI=\frac{\sqrt{\Gamma(1/p)\Gamma(3/p)}}{\Gamma(2/p)}.

With method the user can choice between an inverse interpolation (faster) or a direct solution of the equation

\hat{VI}=\frac{\sqrt{\Gamma(1/p)\Gamma(3/p)}}{\Gamma(2/p)}.

Value

An estimate of p from a sample of observations.

Author(s)

Angelo M. Mineo

References

Mineo, A.M. (1994) Un nuovo metodo di stima di p per una corretta valutazione dei parametri di intensita e di scala di una curva normale di ordine p, Atti della XXXVII Riunione Scientifica della Societa Italiana di Statistica, San Remo, Vol. 2, pp. 147-154.

Examples

x<-rnormp(300,mu=1,sigmap=2,p=4)
p<-estimatep(x,mu=1,p=2)
p

normalp documentation built on May 29, 2024, 10:27 a.m.