lmomst3 {lmomco}R Documentation

L-moments of the 3-Parameter Student t Distribution

Description

This function estimates the first six L-moments of the 3-parameter Student t distribution given the parameters (ξ\xi, α\alpha, ν\nu) from parst3. The L-moments in terms of the parameters are

λ1=ξ\mbox,\lambda_1 = \xi\mbox{,}

λ2=264νπαν1/2Γ(2ν2)/[Γ(12ν)]4\mboxand\lambda_2 = 2^{6-4\nu}\pi\alpha\nu^{1/2}\,\Gamma(2\nu-2)/[\Gamma(\frac{1}{2}\nu)]^4\mbox{\, and}

τ4=152Γ(ν)Γ(12)Γ(ν12)01 ⁣(1x)ν3/2[Ix(12,12ν)]2x  dx32\mbox,\tau_4 = \frac{15}{2} \frac{\Gamma(\nu)}{\Gamma(\frac{1}{2})\Gamma(\nu - \frac{1}{2})} \int_0^1 \! \frac{(1-x)^{\nu - 3/2}[I_x(\frac{1}{2},\frac{1}{2}\nu)]^2}{\sqrt{x}}\; \mathrm{d} x - \frac{3}{2}\mbox{,}

where Ix(12,12ν)I_x(\frac{1}{2}, \frac{1}{2}\nu) is the cumulative distribution function of the Beta distribution. The distribution is symmetrical so that τr=0\tau_r = 0 for odd values of r:r3r: r \ge 3.

Numerical integration of is made to estimate τ4\tau_4. The other two parameters are readily solved for when ν\nu is available. A polynomial approximation is used to estimate the τ6\tau_6 as a function of τ4\tau_4; the polynomial was based on the theoLmoms estimating τ4\tau_4 and τ6\tau_6. The τ6\tau_6 polynomial has nine coefficients with a maximum absolute residual value of 2.065e-06 for 4,000 degrees of freedom (see inst/doc/t4t6/studyST3.R).

Usage

lmomst3(para, ...)

Arguments

para

The parameters of the distribution.

...

Additional arguments to pass.

Value

An R list is returned.

lambdas

Vector of the L-moments. First element is λ1\lambda_1, second element is λ2\lambda_2, and so on.

ratios

Vector of the L-moment ratios. Second element is τ\tau, third element is τ3\tau_3 and so on.

trim

Level of symmetrical trimming used in the computation, which is 0.

leftrim

Level of left-tail trimming used in the computation, which is NULL.

rightrim

Level of right-tail trimming used in the computation, which is NULL.

source

An attribute identifying the computational source of the L-moments: “lmomst3”.

Author(s)

W.H. Asquith with A.R. Biessen

References

Asquith, W.H., 2011, Distributional analysis with L-moment statistics using the R environment for statistical computing: Createspace Independent Publishing Platform, ISBN 978–146350841–8.

See Also

parst3, cdfst3, pdfst3, quast3

Examples

lmomst3(vec2par(c(1124, 12.123, 10), type="st3"))

[Package lmomco version 2.5.1 Index]