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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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