data2cauchypoly {Lmoments} | R Documentation |
Estimates the parameters of the Cauchy-polynomial quantile mixture from data or from trimmed L-moments
data2cauchypoly4(data) t1lmom2cauchypoly4(t1lmom)
data |
vector |
t1lmom |
vector of trimmed L-moments |
vector containing the four parameters of the Cauchy-polynomial quantile mixture
Juha Karvanen juha.karvanen@ktl.fi
Karvanen, J. 2005. Estimation of quantile mixtures via L-moments and trimmed L-moments, Computational Statistics & Data Analysis, in press http://www.bsp.brain.riken.jp/publications/2005/karvanen_quantile_mixtures.pdf.
t1lmoments
for trimmed L-moments,
dcauchypoly
for the Cauchy-polynomial quantile mixture and
data2normpoly4
for the estimation of the normal-polynomial quantile mixture.
#Generates 500 random variables from the Cauchy-polynomial quantile mixture, #calculates the trimmed L-moments, #estimates parameters via trimmed L-moments and #plots the true pdf and the estimated pdf together with the histogram of the data. true_params<-t1lmom2cauchypoly4(c(0,1,0.075,0.343)); x<-rcauchypoly(500,true_params); t1lmom<-t1lmoments(x); estim_params<-t1lmom2cauchypoly4(t1lmom); plotpoints<-seq(-10,10,by=0.01); histpoints<-c(seq(min(x)-1,-20,length.out=50),seq(-10,10,by=0.5),seq(20,max(x)+1,length.out=50)); hist(x,breaks=histpoints,freq=FALSE,xlim=c(-10,10)); lines(plotpoints,dcauchypoly(plotpoints,estim_params),col='red'); lines(plotpoints,dcauchypoly(plotpoints,true_params),col='blue');