expected.gld {Davies} | R Documentation |
expected value of the Generalized Lambda Distribution
Description
Returns the expected value of the Generalized Lambda Distribution
Usage
expected.gld(n=1, i=1, params)
expected.gld.approx(n=1, i=1, params)
Arguments
n |
Number of observations |
i |
Order statistic: |
params |
The four parameters of a GLD distribution |
Details
expected.gld
and expected.approx
return the exact and
approximate values of the expected value of a Generalized Lambda
Distribution RV.
Exploits the fact that the gld
quantile function is the sum of
a constant and two davies
quantile functions
Author(s)
Robin K. S. Hankin
References
A. Ozturk and R. F. Dale, “Least squares estimation of the parameters of the generalized lambda distribution”, Technometrics 1985, 27(1):84 [it does not appear to be possible, as of R-2.9.1, to render the diacritic marks in the first author's names in a nicely portable way]
See Also
Examples
params <- c(4.114,0.1333,0.0193,0.1588)
mean(rgld(1000,params))
expected.gld(n=1,i=1,params)
expected.gld.approx(n=1,i=1,params)
f <- function(n){apply(matrix(rgld(n+n,params),2,n),2,min)}
#ie f(n) gives the smaller of 2 rgld RVs, n times.
mean(f(1000))
expected.gld(n=2,i=1,params)
expected.gld.approx(n=2,i=1,params)
plot(1:100,expected.gld.approx(n=100,i=1:100,params)-expected.gld(n=100,i=1:100,params))
# not bad, eh? ....yyyeeeeesss, but the parameters given by Ozturk give
# an almost zero second derivative for d(qgld)/dp, so the good agreement
# isn't surprising really. Observe that the error is minimized at about
# p=0.2, where the point of inflection is.
[Package Davies version 1.2-0 Index]