fun.RMFMKL.mm {GLDEX}

Fit FMKL generalised lambda distribution to data set using moment matching

Description

This function fits FMKL generalised lambda distribution to data set using moment matching

Usage

fun.RMFMKL.mm(data, fmkl.init = c(-0.25, 1.5), leap = 3, FUN = "runif.sobol", 
no = 10000)

Arguments

data

Dataset to be fitted

fmkl.init

Initial values for FMKL distribution optimization, c(-0.25,1.5) tends to work well.

leap

See scrambling argument in fun.gen.qrn.

FUN

A character string of either "runif.sobol" (default), "runif.sobol.owen", "runif.halton" or "QUnif".

no

Number of initial random values to find the best initial values for optimisation.

Details

This function provides method of moment fitting scheme for FMKL GLD. Note this function can fail if there are no defined percentiles from the data set or if the initial values do not lead to a valid FMKL generalised lambda distribution.

This function is based on scheme detailed in the literature below but it has been modified by the author (Steve Su).

Value

A vector representing four parametefmkl of the FMKL generalised lambda distribution.

Author(s)

Steve Su

References

Karian, Z. and E. Dudewicz (2000). Fitting Statistical Distributions: The Generalized Lambda Distribution and Generalised Bootstrap Methods. New York, Chapman and Hall.

See Also

fun.RMFMKL.ml, fun.RMFMKL.lm, fun.RMFMKL.qs, fun.data.fit.ml fun.data.fit.lm, fun.data.fit.qs, fun.data.fit.mm

Examples

# Fitting the normal distribution
 fun.RMFMKL.mm(data=rnorm(1000,2,3),fmkl.init=c(-0.25,1.5),leap=3)