delta.GMM {LambertW}R Documentation

GMM estimation of delta only

Description

Given mu_x and sigma_x, it computes the value of delta such that the sample skewness of the back transformed data equals the theoretical one of X, gamma(X). In particular, for Gaussian and student-t input gamma(X) = 0 (default value), so this finds the delta that "symmetrizes" the backtransformed data.

A robust measure of the skewness is possible via the MedCouple estimator.

Usage

delta.GMM(y, robust = FALSE, c = mean(y), s = sqrt(var(y)), gamma_x = 0, ...)

Arguments

y data
robust should the skewness be measured in a robust way? robust=TRUE/FALSE; default is FALSE
c the value that centers y
s standardizing constant for y
gamma_x theoretical skewness. default value gamma_x = 0
... ...

Value

the parameter vector theta

Author(s)

Georg M. Goerg

References

Goerg, G.M. (2009). “Lambert W Random Variables - A new class of skewed distribution functions”. Unpublished


[Package LambertW version 0.1.0 Index]