Estimating the parameters of the generalized lambda distribution: which method performs best?

DOI10.1080/03610918.2014.901355MaRDI QIDQ2820997zbMATH OpenOpenAlexFDO

Authors Canan G. Corlu, Melike Meterelliyoz

Publication date 16 September 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.901355

zbMATH Keywords

generalized lambda distributiongenetic algorithmleast-squaresmethod of matching percentilesparameter estimation

Mathematics Subject Classification ID

Point estimation (62F10) Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Simplex Method for Function Minimization
• a study of the generalized tukey lambda family
• An approximate method for generating asymmetric random variables
• Characterizing the generalized lambda distribution by L-moments
• Estimating the parameters of a generalized lambda distribution
• Fitting the generalized lambda distribution to data: a method based on percentiles
• Information-Theoretic Distribution Test with Application to Normality
• L-moments and TL-moments of the generalized lambda distribution
• Low Moments for Small Samples: A Comparative Study of Order Statistics
• Measuring inequality and social welfare from any arbitrary distribution
• Numerical maximum log likelihood estimation for generalized lambda distributions
• On simulating multivariate non-normal distributions from the generalized lambda distribution
• Response to Shore
• Robust solutions and risk measures for a supply chain planning problem under uncertainty
• Simulation input data modeling
• Theory & Methods: A Starship Estimation Method for the Generalized λ Distributions

Cited in

(14)

• Estimating the parameters of a generalized lambda distribution
• Linking Tukey's legacy to financial risk measurement
• Approximating distributions by extended generalized lambda distribution (XGLD)
• Fitting the Generalized Lambda Distribution with Location and Scale-Free Shape Functionals
• Modelling exchange rate returns: which flexible distribution to use?
• An efficient estimator of the parameters of the generalized lambda distribution
• A simple and efficient method for finding the closest generalized lambda distribution to a specific model
• Comparison of Generalized Lambda Distribution (GLD) and Response Modeling Methodology (RMM) as General Platforms for Distribution Fitting
• Estimation of the Generalized Lambda Distribution Parameters for Grouped Data
• Comparing estimation methods for the FPLD
• Gaussian quadrature method for GLD parameter estimation
• Exploiting the quantile optimality ratio in finding confidence intervals for quantiles
• Numerical maximum log likelihood estimation for generalized lambda distributions
• On simulating multivariate non-normal distributions from the generalized lambda distribution

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Uses Software

• R

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