| Abstract: | The 4-parameter generalized lambda distribution (GLD) is a flexible distribution capable of mimicking the shapes of many distributions and data samples including those with heavy tails. The method of L-moments and the recently developed method of trimmed L-moments (TL-moments) are attractive techniques for parameter estimation for heavy-tailed distributions for which the L- and TL-moments have been defined. Analytical solutions for the first five L- and TL-moments in terms of GLD parameters are derived. Unfortunately, numerical methods are needed to compute the parameters from the L- or TL-moments. Algorithms are suggested for parameter estimation. Application of the GLD using both L- and TL-moment parameter estimates from example data is demonstrated, and comparison of the L-moment fit of the 4-parameter kappa distribution is made. A small simulation study of the 98th percentile (far-right tail) is conducted for a heavy-tail GLD with high-outlier contamination. The simulations show, with respect to estimation of the 98th-percent quantile, that TL-moments are less biased (more robost) in the presence of high-outlier contamination. However, the robustness comes at the expense of considerably more sampling variability. ?? 2006 Elsevier B.V. All rights reserved. |
| Genre: | Article |
| ProdID: | 70029785 |
| Citation Author: | Asquith, W. H. |
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| Citation End Page: | 4496 |
| Citation Issue: | 9 |
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| Citation Language: | English |
| Citation Larger Work Title: | Computational Statistics and Data Analysis |
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| Citation Number Of Pages: | 13 |
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| Citation Search Results Text: | L-moments and TL-moments of the generalized lambda distribution; 2007; Article; Journal; Computational Statistics and Data Analysis; Asquith, W. H. |
| Citation Start Page: | 4484 |
| Citation Volume: | 51 |
| Citation Year: | 2007 |
| Type: | citation/reference |
| Text: | L-moments and TL-moments of the generalized lambda distribution; 2007; Article; Journal; Computational Statistics and Data Analysis; Asquith, W. H. |
| URL (THUMBNAIL): | http://pubs.er.usgs.gov/thumbnails/outside_thumb.jpg |
| URL (DIGITAL OBJECT IDENTIFIER): | http://dx.doi.org/10.1016/j.csda.2006.07.016 |
| Date Other: | Mon, 1 Jan 2007 00:00 -0600 |
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