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

Computational Statistics and Data Analysis

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DOI: 10.1016/j.csda.2012.12.013

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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.

Additional Publication Details

Publication type:
Article
Publication Subtype:
Journal Article
Title:
Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R
Series title:
Computational Statistics and Data Analysis
DOI:
10.1016/j.csda.2012.12.013
Volume
71
Year Published:
2014
Language:
English
Publisher:
Elsevier
Contributing office(s):
Texas Water Science Center
Description:
15 p.
Larger Work Type:
Article
Larger Work Subtype:
Journal Article
Larger Work Title:
Computational Statistics and Data Analysis
First page:
955
Last page:
970