GeneralizedLambda-package: The Generalized Lambda Distribution

Description Details Author(s) References See Also Examples

Description

This package provides functions for multiple versions (commonly wrongly called parameterisations) of the generalized lambda distribution. Functions are provided (or will be) for the density function, distribution function, quantile function and for random number generation. Code has been drawn from a number of existing packages and reformatted to agree with the style of the packages GeneralizedHyperbolic, NormalLaplace, VarianceGamma and SkewHyperbolic.

Details

Functions dgl, pgl, qgl, rgl provide the density function, distribution function, quantile function and random number generation for different versions of the generalized lambda distribution.

glCheckPars check whether supplied parameters represent a valid instance of the generalized lambda distribution.

Author(s)

Jeong Kim <jkim831@aucklanduni.ac.nz>

Maintainer: David Scott <d.scott@auckland.ac.nz>

References

Freimer, M., Mudholkar, G. S., Kollia, G. & Lin, C. T. (1988), A study of the generalized Tukey lambda family, Communications in Statistics - Theory and Methods 17,3547–3567.

Gilchrist, Warren G. (2000) Modelling with Quantile Functions, Chapman \& Hall/CRC, London.

Karian, Zaven A. and Dudewicz, Edward J. (2000), Fitting statistical distributions: the Generalized Lambda Distribution and Generalized Bootstrap methods, Chapman & Hall, London.

Karian, Z.E., Dudewicz, E.J., and McDonald, P. (1996), The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “Final Word” on Moment fits, Communications in Statistics - Simulation and Computation 25, 611–642.

Ramberg, J. S. & Schmeiser, B. W. (1974), An approximate method for generating asymmetric random variables, Communications of the ACM 17, 78–82.

Van Staden, Paul J., & M.T. Loots. (2009), Method of L-moment Estimation for the Generalized Lambda Distribution. In Proceedings of the Third Annual ASEARC Conference. Callaghan, NSW 2308 Australia: School of Mathematical and Physical Sciences, University of Newcastle.

See Also

GeneralizedLambdaDistribution, GLDEX.package, gldist-package, and gld for other implementations of the generalized lambda distribution.

GeneralizedLambda for a description of the different generalized lambda distribution versions.

Examples

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qgl(seq(0, 1, 0.02), 0, 1, 0.123, -4.3,
    lower.tail = FALSE, version = "FMKL")
rgl(10, 0, 1.24, 1, 0.7, version = "VSK")
## Not run: 
  pgl(0.6, 1, 0.2, 0.3, -2, version = "RS") # Error

## End(Not run)

GeneralizedLambda documentation built on May 2, 2019, 4:50 p.m.