lmomco (version 2.3.1)

parTLgpa: Estimate the Parameters of the Generalized Pareto Distribution using Trimmed L-moments

Description

This function estimates the parameters of the Generalized Pareto distribution given the the trimmed L-moments (TL-moments) for \(t=1\) of the data in TL-moment object with a trim level of unity (trim=1). The parameters are computed as $$\kappa = \frac{10-45\tau^{(1)}_3}{9\tau^{(1)}_3+10} \mbox{,}$$ $$\alpha = \frac{1}{6}\lambda^{(1)}_2(\kappa+2)(\kappa+3)(\kappa+4) \mbox{, and}$$ $$\xi = \lambda^{(1)}_1 - \frac{\alpha(\kappa+5)}{(\kappa+2)(\kappa+3)} \mbox{.}$$

Usage

parTLgpa(lmom, ...)

Arguments

lmom

A TL-moment object created by TLmoms.

...

Other arguments to pass.

Value

An R list is returned.

type

The type of distribution: gpa.

para

The parameters of the distribution.

source

The source of the parameters: “parTLgpa”.

References

Elamir, E.A.H., and Seheult, A.H., 2003, Trimmed L-moments: Computational Statistics and Data Analysis, v. 43, pp. 299--314.

See Also

TLmoms, lmomTLgpa, cdfgpa, pdfgpa, quagpa

Examples

# NOT RUN {
TL <- TLmoms(rnorm(20),trim=1)
parTLgpa(TL)
# }