The package provides distribution, density and quantile functions of the Tukey’s g-and-h probability distribution (Tukey 1977), as well as functions for random number generation, parameter estimation and testing.
In the current version of the package, the g-and-h distribution can be fitted through:
whereas the hypothesis (h=0) (which makes the g-and-h distribution, a g distribution) is tested by means of the log-likelihood ratio test procedure proposed in Bee et al. (2021).
Fit the g-and-h distribution to dataset EPWS2014
on operational losses
by means of indirect inference (Bee, Hambuckers, and Trapin 2019b), and
quantile estimator (Hoaglin 1985):
library(tukeyGH)
data("EPWS2014")
modII <- fitGH(EPWS2014, method = "iinference")
summary(modII)
modQU <- fitGH(EPWS2014, method = "quantile")
summary(modQU)
modML <- fitGH(EPWS2014, method = "mle")
summary(modML)
rbind(QU = coef(modQU), II = coef(modII), ML = coef(modML))
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