A Characterization of Power Method Transformations through L -Moments

Todd C. Headrick

Journal of Probability and Statistics, 2011, vol. 2011, 1-22

Abstract:

Power method polynomial transformations are commonly used for simulating continuous nonnormal distributions with specified moments. However, conventional moment-based estimators can (a) be substantially biased, (b) have high variance, or (c) be influenced by outliers. In view of these concerns, a characterization of power method transformations by L -moments is introduced. Specifically, systems of equations are derived for determining coefficients for specified L -moment ratios, which are associated with standard normal and standard logistic-based polynomials of order five and three. Boundaries for L -moment ratios are also derived, and closed-formed formulae are provided for determining if a power method distribution has a valid probability density function. It is demonstrated that L -moment estimators are nearly unbiased and have relatively small variance in the context of the power method. Examples of fitting power method distributions to theoretical and empirical distributions based on the method of L -moments are also provided.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/JPS/2011/497463.pdf (application/pdf)
http://downloads.hindawi.com/journals/JPS/2011/497463.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:497463

DOI: 10.1155/2011/497463

Access Statistics for this article

More articles in Journal of Probability and Statistics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().