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

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  • Asquith, William H.

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.

Suggested Citation

  • Asquith, William H., 2014. "Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 955-970.
    • Handle: RePEc:eee:csdana:v:71:y:2014:i:c:p:955-970
    DOI: 10.1016/j.csda.2012.12.013
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    References listed on IDEAS

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