Document Type
Article
Source Publication Title
SRN Applied Mathematics
DOI
http://dx.doi.org/10.5402/2012/725754
Abstract
This paper introduces a new family of generalized lambda distributions (GLDs) based on a method of doubling symmetric GLDs. The focus of the development is in the context of L-moments and L-correlation theory. As such, included is the development of a procedure for specifying double GLDs with controlled degrees of L-skew, L-kurtosis, and L-correlations. The procedure can be applied in a variety of settings such as modeling events and Monte Carlo or simulation studies. Further, it is demonstrated that estimates of L-skew, L-kurtosis, and L-correlation are substantially superior to conventional product-moment estimates of skew, kurtosis, and Person correlation in terms of both relative bias and efficiency when heavy tailed distributions are of concern.This paper introduces a new family of generalized lambda distributions (GLDs) based on a method of doubling symmetric GLDs. The focus of the development is in the context of L-moments and L-correlation theory. As such, included is the development of a procedure for specifying double GLDs with controlled degrees of L-skew, L-kurtosis, and L-correlations. The procedure can be applied in a variety of settings such as modeling events and Monte Carlo or simulation studies. Further, it is demonstrated that estimates of L-skew, L-kurtosis, and L-correlation are substantially superior to conventional product-moment estimates of skew, kurtosis, and Person correlation in terms of both relative bias and efficiency when heavy tailed distributions are of concern.
Disciplines
Curriculum and Instruction | Education
Publication Date
1-1-2012
Language
English
License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.
Recommended Citation
Headrick, Todd C. and Pant, Mohan, "A doubling method for the generalized lambda distributions" (2012). Curriculum and Instruction Faculty Publications. 33.
https://mavmatrix.uta.edu/curriculuminstruction_facpubs/33