Numerical maximum log likelihood estimation for generalized lambda distributions

DOI10.1016/j.csda.2006.06.008zbMath1161.62329OpenAlexW2032725346MaRDI QIDQ92229

Steve Su, Steve Su

Publication date: May 2007

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.06.008

zbMATH Keywords

prior distributionsempirical data analysisfitting distributions

Mathematics Subject Classification ID

Related Items (18)

Unnamed Item ⋮ Flexible modelling of survival curves for censored data ⋮ An efficient estimator of the parameters of the generalized lambda distribution ⋮ Approximating Distributions by Extended Generalized Lambda Distribution (XGLD) ⋮ Linking Tukey's legacy to financial risk measurement ⋮ A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution ⋮ Comparing estimation methods for the FPLD ⋮ Modelling exchange rate returns: which flexible distribution to use? ⋮ Improving ABC for quantile distributions ⋮ Characterizing the generalized lambda distribution by L-moments ⋮ Confidence intervals for quantiles using generalized lambda distributions ⋮ Comparison of bootstrap and generalized bootstrap methods for estimating high quantiles ⋮ Distributional Modeling of Pipeline Leakage Repair Costs for a Water Utility Company ⋮ Flexible parametric quantile regression model ⋮ Fitting the generalized lambda distribution to pre-binned data ⋮ A quantile function approach to the distribution of financial returns following TGARCH models ⋮ Estimating the Parameters of the Generalized Lambda Distribution: Which Method Performs Best? ⋮ GLDEX

Uses Software

• TOMS659

Cites Work

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• a study of the generalized tukey lambda family
• Algorithm 659
• Convergence theorems for a class of simulated annealing algorithms on ℝ^d
• A Probability Distribution and Its Uses in Fitting Data
• The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “final word” on moment fits
• Theory & Methods: A Starship Estimation Method for the Generalized λ Distributions
• Response to Shore
• An approximate method for generating asymmetric random variables
• Function minimization by conjugate gradients
• A Simplex Method for Function Minimization
• Nonparametric Probability Density Estimation: I. A Summary of Available Methods
• Low Moments for Small Samples: A Comparative Study of Order Statistics

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