IGMM {LambertW}R Documentation

Iterative Generalized Method of Moments – IGMM

Description

Computes via iterations the value of theta that generates appropriate input data x.

Usage

IGMM(y, robust = FALSE, tol = 10^(-6), gamma_x = 0, ...)

Arguments

y data
robust robust measure of the skewness
tol tolerance level for conversion reached
gamma_x theoretical skewness of input X
... ...

Value

theta.0 the initial estimate theta.0
theta optimal theta
iterations number of iterations
call ...

Author(s)

Georg M. Goerg

References

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 Unpublished

Examples

x=rnorm(1000)
fit=IGMM(x)
fit

[Package LambertW version 0.1.0 Index]