37 lines
1 KiB
R
37 lines
1 KiB
R
# Method of moments with a twist for GAL distribution
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' Method of moments with a twist for GAL distribution
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#'
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#' Estimating the parameters of GAL distribution using a
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#' twist on method of moments by Seneta (2004)
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#' @param data Sample
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#' @param type Choose between "mu" or "kappa" parametrization
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#' @param log Logical for log-parameters
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#' @return a vector of estimated parameters
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#'
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#' @author Francois Pelletier
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startparamGAL <- function(data,type="mu",log=FALSE)
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{
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if(type=="mu")
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{
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mom <- c(mean(data),var(data),moments::skewness(data),moments::kurtosis(data)-3)
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tau <- 3/(mom[4])
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sigma <- sqrt(mom[2]/(2*tau))
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mu <- mom[3]*sigma*sqrt(2/(3*(mom[4])))
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theta <- mom[1]-tau*mu
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if(log==FALSE)
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return(c(theta,sigma,mu,tau))
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else
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return(log(c(theta,sigma,mu,tau)))
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}
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if(type=="kappa")
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{
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return(changetypeGAL(startparamGAL(data,type="mu",log),type="kappa",target="mu",log))
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}
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}
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