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Comparing estimation methods for the FPLD. (English) Zbl 1200.62016

Summary: We use the quantile function to define statistical models. In particular, we present a five-parameter version of the generalized lambda distribution (FPLD). Three alternative methods for estimating its parameters are proposed and their properties are investigated and compared by making use of real and simulated data sets. It will be shown that the proposed model realistically approximates a number of families of probability distributions, has feasible methods for its parameter estimation, and offers an easier way to generate random numbers.

MSC:

62F10 Point estimation
62E15 Exact distribution theory in statistics
65C10 Random number generation in numerical analysis

Software:

gld
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Full Text: DOI EuDML

References:

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