L-moments
Calculates sample L-moments, L-coefficients and covariance matrix of L-moments.
Lmoments(data,rmax=4,na.rm=FALSE,returnobject=FALSE,trim=c(0,0)) Lcoefs(data,rmax=4,na.rm=FALSE,trim=c(0,0)) Lmomcov(data,rmax=4,na.rm=FALSE) Lmoments_calc(data,rmax=4) Lmomcov_calc(data,rmax=4)
data |
matrix or data frame. |
rmax |
maximum order of L-moments. |
na.rm |
a logical value indicating whether 'NA' values should be removed before the computation proceeds. |
returnobject |
a logical value indicating whether a list object should be returned instead of an array of L-moments. |
trim |
c(0,0) for ordinary L-moments and c(1,1) for trimmed (t=1) L-moments |
Lmoments |
returns an array of L-moments containing a row for each variable in data, or if returnobject=TRUE, a list containing the following: |
lambdas |
an array of L-moments |
ratios |
an array of mean, L-scale and L-moment ratios |
trim |
the value of the parameter 'trim' |
source |
a string with value "Lmoments" or "t1lmoments" |
Lcoefs |
returns an array of L-coefficients (mean, L-scale, L-skewness, L-kurtosis, ...) |
Lmomcov |
returns the covariance matrix of L-moments or a list of covariance matrices if the input has multiple columns. |
Lmoments_calc |
is internal function. |
Lmomcov_calc |
is internal function. |
Functions Lmoments and Lcoefs calculate trimmed L-moments
if you specify trim=c(1,1).
Juha Karvanen <juha.karvanen@ktl.fi>
Karvanen, J. and A. Nuutinen (2008). "Characterizing the generalized lambda distribution by L-moments." Computational Statistics and Data Analysis 52(4): 1971-1983.
Asquith, W. (2007). "L-moments and TL-moments of the generalized lambda distribution." Computational Statistics and Data Analysis 51(9): 4484-4496.
Elamir, E. A., Seheult, A. H. 2004. "Exact variance structure of sample L-moments" Journal of Statistical Planning and Inference 124 (2) 337-359.
Hosking, J. 1990. "L-moments: Analysis and estimation distributions using linear combinations of order statistics", Journal of Royal Statistical Society B 52, 105-124.
t1lmoments for trimmed L-moments
x<-rnorm(500) Lmoments(x)
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