Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R

William H. Asquith

Computational Statistics & Data Analysis, 2014, vol. 71, issue C, 955-970

Abstract: The implementation characteristics of two method of L-moments (MLM) algorithms for parameter estimation of the 4-parameter Asymmetric Exponential Power (AEP4) distribution are studied using the R environment for statistical computing. The objective is to validate the algorithms for general application of the AEP4 using R. An algorithm was introduced in the original study of the L-moments for the AEP4. A second or alternative algorithm is shown to have a larger L-moment-parameter domain than the original. The alternative algorithm is shown to provide reliable parameter production and recovery of L-moments from fitted parameters. A proposal is made for AEP4 implementation in conjunction with the 4-parameter Kappa distribution to create a mixed-distribution framework encompassing the joint L-skew and L-kurtosis domains. The example application provides a demonstration of pertinent algorithms with L-moment statistics and two 4-parameter distributions (AEP4 and the Generalized Lambda) for MLM fitting to a modestly asymmetric and heavy-tailed dataset using R.

Keywords: L-moments; Order statistics; Asymmetric Exponential Power distribution; Generalized Lambda distribution; Kappa distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:71:y:2014:i:c:p:955-970

DOI: 10.1016/j.csda.2012.12.013

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