Lmoments {GLDEX}

L-moments

Description

Calculates sample L-moments, L-coefficients and covariance matrix of L-moments.

Usage

Lmoments(data,rmax=4,na.rm=FALSE,returnobject=FALSE,trim=c(0,0))
Lcoefs(data,rmax=4,na.rm=FALSE,trim=c(0,0))
Lmomcov(data,rmax=4,na.rm=FALSE)
Lmoments_calc(data,rmax=4)
Lmomcov_calc(data,rmax=4)

Arguments

data

matrix or data frame.

rmax

maximum order of L-moments.

na.rm

a logical value indicating whether 'NA' values should be removed before the computation proceeds.

returnobject

a logical value indicating whether a list object should be returned instead of an array of L-moments.

trim

c(0,0) for ordinary L-moments and c(1,1) for trimmed (t=1) L-moments

Value

Lmoments

returns an array of L-moments containing a row for each variable in data, or if returnobject=TRUE, a list containing the following:

lambdas

an array of L-moments

ratios

an array of mean, L-scale and L-moment ratios

trim

the value of the parameter 'trim'

source

a string with value "Lmoments" or "t1lmoments"

Lcoefs

returns an array of L-coefficients (mean, L-scale, L-skewness, L-kurtosis, ...)

Lmomcov

returns the covariance matrix of L-moments or a list of covariance matrices if the input has multiple columns.

Lmoments_calc

is internal function.

Lmomcov_calc

is internal function.

Note

Functions Lmoments and Lcoefs calculate trimmed L-moments if you specify trim=c(1,1).

Author(s)

Juha Karvanen <[e-mail]>

References

Karvanen, J. and A. Nuutinen (2008). "Characterizing the generalized lambda distribution by L-moments." Computational Statistics and Data Analysis 52(4): 1971-1983.

Asquith, W. (2007). "L-moments and TL-moments of the generalized lambda distribution." Computational Statistics and Data Analysis 51(9): 4484-4496.

Elamir, E. A., Seheult, A. H. 2004. "Exact variance structure of sample L-moments" Journal of Statistical Planning and Inference 124 (2) 337-359.

Hosking, J. 1990. "L-moments: Analysis and estimation distributions using linear combinations of order statistics", Journal of Royal Statistical Society B 52, 105-124.

See Also

t1lmoments for trimmed L-moments

Examples

x<-rnorm(500)
Lmoments(x)