qmomqf: Robust moments

In dmi3kno/qpd: Tools for Quantile-Parametrized Distribiutions

Robust moments

Description

Unnormalized robust moments.

\sigma_r=Q(3/4)-Q(1/4)

s_r=\frac{Q(3/4)+Q(1/4)-2Q(1/2)}{\sigma_r}

\kappa_r=\frac{Q(7/8)-Q(5/8)+Q(3/8)-Q(1/8)}{\sigma_r}

These are implemented as qdv_qf, qsk_qf, and qkr_qf, respectively. Note that the robust measure of location is the median \mu_r=Q(1/2).

Usage

qdv_qf(.qf, ..., lambda = 0.25)

qsk_qf(.qf, ..., lambda = 0.25)

qkr_qf(.qf, ..., lambda = 0.25, zeta = lambda/2)

Arguments

.qf	quantile function
...	parameters, passed to the of quantile function
lambda	probability < 0.5 corresponding to the tail in the robust deviation. Default is 0.25
zeta	probability zeta<lambda corresponding to the tail in robust kurtosis. Default is lambda/2

Value

numeric value of robust moment

Examples

qdv_qf(qnorm, 0, 1)
qsk_qf(qnorm, 0, 1)
qkr_qf(qnorm, 0, 1)

dmi3kno/qpd documentation built on Sept. 29, 2024, 6:39 p.m.