Fitting the generalized lambda distribution to data: a method based on percentiles

DOI10.1080/03610919908813579MaRDI QIDQ4490205zbMATH OpenOpenAlexFDO

Authors Zaven A. Karian, Edward J. Dudewicz

Publication date 11 July 2000

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

Full work available at URL https://doi.org/10.1080/03610919908813579

zbMATH Keywords

data fittinggeneralized beta distributiongeneralized lambda distributionmethod of momentsmethod of percentilessystems of probability distributions

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10)

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Cites work

• A Probability Distribution and Its Uses in Fitting Data
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• An approximate method for generating symmetric random variables
• scientific article; zbMATH DE number 44961 (Why is no real title available?)
• scientific article; zbMATH DE number 3381785 (Why is no real title available?)
• Pameters for a general system of distributions to match a grid of α₃and α₄
• The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “final word” on moment fits
• The Nelder-Mead Simplex Procedure for Function Minimization

Cited in

(35)

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• Linking Tukey's legacy to financial risk measurement
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Simulating univariate and multivariate Tukey \(g\)-and-\(h\) distributions based on the method of percentiles
• On kurtoses of two symmetric or asymmetric populations
• Fitting statistical distributions. The generalized lambda distribution and generalized bootstrap methods
• Estimating the parameters of the generalized lambda distribution: which method performs best?
• Comparison of GLD fitting methods: superiority of percentile fits to moments in L^2 norm
• Interval estimators for inequality measures using grouped data
• A quantile function approach to the distribution of financial returns following TGARCH models
• scientific article; zbMATH DE number 4162128 (Why is no real title available?)
• Computational Issues in Fitting Statistical Distributions to Data
• Fitting the Generalized Lambda Distribution with Location and Scale-Free Shape Functionals
• Fitting Mixture Distributions Using Generalized Lambda Distributions and Comparison with Normal Mixtures
• The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “final word” on moment fits
• The Extended Generalized Lambda Distribution (EGLD) System for Fitting Distributions to Data with Moments, II: Tables
• On using percentiles to fit data by a johnson distribution
• Fitting the Generalized Lambda Distribution (GLD) System by A Method of Percentiles, II: Tables
• An efficient estimator of the parameters of the generalized lambda distribution
• A new family of quantile functions and its applications
• A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution
• Confidence intervals for quantiles from histograms and other grouped data
• A simple and efficient method for finding the closest generalized lambda distribution to a specific model
• Fitting the generalized lambda distribution to pre-binned data
• Handbook of fitting statistical distributions with R. With CD-ROM.
• Comparison of Generalized Lambda Distribution (GLD) and Response Modeling Methodology (RMM) as General Platforms for Distribution Fitting
• Partial Moments of Generalized Lambda Distribution
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• Matching distributions for survival data
• GTL regression: a linear model with skewed and thick-tailed disturbances
• Moment estimation based on quantiles
• A quantile based income analysis of Power-Pareto distribution
• Characterizing the generalized lambda distribution by L-moments
• Numerical maximum log likelihood estimation for generalized lambda distributions
• Comparison of bootstrap and generalized bootstrap methods for estimating high quantiles

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