gldist: An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution

The generalized lambda distribution (GLD) is a versatile distribution that can accommodate a wide range of shapes, including fat-tailed and asymmetric distributions. This package implements a more intuitive parameterization of the GLD that expresses the location and scale parameters directly as the median and inter-quartile range of the distribution. The remaining two shape parameters characterize the asymmetry and steepness of the distribution respectively. The fitting of the GLD to empirical data can be reduced to a two-parameter estimation problem where the location and scale parameters are estimated by their robust sample estimators. Moreover, the parameterization can be used to compare data sets in a convenient asymmetry and steepness shape plot. The underline C routines are written such that compilers that support vectorized mathematical operations can automatically vectorize the most time consuming loops (tested with icc 12.1.0). The package includes the usual distribution functions, fitting routines and a shape plot function.

Version: 2160.2
Depends: R (≥ 2.14.0)
Suggests: RUnit
Published: 2012-04-02
Author: Yohan Chalabi and Diethelm Wuertz
Maintainer: Yohan Chalabi <chalabi at phys.ethz.ch>
License: GPL-2 | GPL-3
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: gldist results

Downloads:

Reference manual: gldist.pdf
Package source: gldist_2160.2.tar.gz
OS X binary: gldist_2160.2.tgz
Windows binary: gldist_2160.2.zip
Old sources: gldist archive