lmomco (version 0.88)

lmomgev: L-moments of the Generalized Extreme Value Distribution

Description

This function estimates the L-moments of the Generalized Extreme Value distribution given the parameters ($\xi$, $\alpha$, and $\kappa$) from pargev. The L-moments in terms of the parameters are

$$\lambda_1 = \xi + \frac{\alpha}{\kappa}(1-\Gamma(1+\kappa)) \mbox{,}$$ $$\lambda_2 = \frac{\alpha}{\kappa}(1-2^{-\kappa})\Gamma(1+\kappa) \mbox{,}$$ $$\tau_3 = \frac{2(1-3^{-\kappa})}{1-2^{-\kappa}} - 3 \mbox{, and}$$ $$\tau_4 = \frac{5(1-4^{-\kappa})-10(1-3^{-\kappa})+6(1-2^{-\kappa})}{1-2^{-\kappa}} \mbox{.}$$

Usage

lmomgev(para)

Arguments

para

The parameters of the distribution.

Value

• An R list is returned.
• L1
  Arithmetic mean.
• L2
  L-scale---analogous to standard deviation.
• LCV
  coefficient of L-variation---analogous to coefficient of variation.
• TAU3
  The third L-moment ratio or L-skew---analogous to skew.
• TAU4
  The fourth L-moment ratio or L-kurtosis---analogous to kurtosis.
• TAU5
  The fifth L-moment ratio.
• L3
  The third L-moment.
• L4
  The fourth L-moment.
• L5
  The fifth L-moment.
• source
  An attribute identifying the computational source of the L-moments: lmomgev.

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.

Hosking, J.R.M., 1996, FORTRAN routines for use with the method of L-moments: Version 3, IBM Research Report RC20525, T.J. Watson Research Center, Yorktown Heights, New York.

Hosking, J.R.M. and Wallis, J.R., 1997, Regional frequency analysis---An approach based on L-moments: Cambridge University Press.

See Also

pargev, quagev, cdfgev

Examples

lmr <- lmom.ub(c(123,34,4,654,37,78))
lmr
lmomgev(pargev(lmr))