theoLmoms: The Theoretical L-moments and L-moment Ratios using Integration of the Quantile Function

Description

Compute the theoretrical L-moments for a vector. A theoretrical L-moment in integral form is

$$\lambda_r = \frac{1}{r} \sum^{r-1}_{k=0}{(-1)^k {r-1 \choose k} \frac{r!\:I_r}{(r-k-1)!k!} } \mbox{, in which }$$

$$I_r = \int^1_0 X(F) \times F^{r-k-1}(1-F)^{k}\,\mathrm{d}F \mbox{,}$$

where $X(F)$ is the quantile function of the random variable $X$ for nonexceedance probability $F$, and $r$ represents the order of the L-moments. This function actually dispatches to theoTLmoms with trim=0 argument.

Usage

theoLmoms(para,nmom=5,verbose=FALSE)

Arguments

para

A distribution parameter object of this package vec2par.

nmom

The number of moments to compute. Default is 5.

verbose

Toggle verbose output. Because the R function integrate is used to perform the numerical integration, it might be useful to see selected messages regarding the numerical integration.

Value

An R list is returned.
lambdasVector of the TL-moments. First element is $\lambda_1$, second element is $\lambda_2$, and so on.
ratiosVector of the L-moment ratios. Second element is $\tau_2$, third element is $\tau_3$ and so on.
trimLevel of symmetrical trimming used in the computation, which will equal zero (the ordinary L-moments).
sourceAn attribute identifying the computational source of the L-moments: theoTLmoms.

References

Hosking, J.R.M., 1990, L-moments---Analysis and estimation of distributions using linear combinations of order statistics: Journal of the Royal Statistical Society, Series B, vol. 52, p. 105--124.

Examples

Run this code

para <- vec2par(c(0,1),type='nor') # standard normal
TL00 <- theoLmoms(para) # compute ordinary L-moments

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