dist-gld: Generalized Lambda Distribution

In fBasics: Rmetrics - Markets and Basic Statistics

Generalized Lambda Distribution

Description

Density, distribution function, quantile function and random generation for the generalized lambda distribution.

Usage

dgld(x, lambda1 = 0, lambda2 = -1, lambda3 = -1/8, lambda4 = -1/8, log = FALSE)
pgld(q, lambda1 = 0, lambda2 = -1, lambda3 = -1/8, lambda4 = -1/8)
qgld(p, lambda1 = 0, lambda2 = -1, lambda3 = -1/8, lambda4 = -1/8)
rgld(n, lambda1 = 0, lambda2 = -1, lambda3 = -1/8, lambda4 = -1/8)

Arguments

lambda1	location parameter.
lambda2	scale parameter.
lambda3	first shape parameter.
lambda4	second shape parameter.
n	number of observations.
p	a numeric vector of probabilities.
x, q	a numeric vector of quantiles.
log	a logical, if TRUE, probabilities p are given as log(p).

Details

dgld gives the density, pgld gives the distribution function, qgld gives the quantile function, and rgld generates random deviates.

Value

numeric vector

Author(s)

Chong Gu for code implemented from R's contributed package gld.

Examples

   
## rgld -
   set.seed(1953)
   r = rgld(500, 
     lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8)
   plot(r, type = "l", col = "steelblue",
     main = "gld: lambda1=0 lambda2=-1 lambda3/4=-1/8")
 
## dgld - 
   # Plot empirical density and compare with true density:
   hist(r, n = 25, probability = TRUE, border = "white", 
     col = "steelblue")
   x = seq(-5, 5, 0.25)
   lines(x, dgld(x, 
     lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8))
 
## pgld -  
   # Plot df and compare with true df:
   plot(sort(r), ((1:500)-0.5)/500, main = "Probability", 
     col = "steelblue")
   lines(x, pgld(x, 
     lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8))
   
## qgld -
   # Compute Quantiles:
   qgld(pgld(seq(-5, 5, 1), 
     lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8), 
     lambda1=0, lambda2=-1, lambda3=-1/8, lambda4=-1/8) 

fBasics documentation built on Aug. 20, 2024, 3:01 a.m.