gk: An R Package for the g-and-k and Generalised g-and-h Distributions

View Researcher's Other Codes

Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).

Authors Dennis Prangle
Journal/Conference Name arXiv preprint arXiv:1706.06889
Paper Category
Paper Abstract The g-and-k and (generalised) g-and-h distributions are flexible univariate distributions which can model highly skewed or heavy tailed data through only four parameters: location and scale, and two shape parameters influencing the skewness and kurtosis. These distributions have the unusual property that they are defined through their quantile function (inverse cumulative distribution function) and their density is unavailable in closed form, which makes parameter inference complicated. This paper presents the gk R package to work with these distributions. It provides the usual distribution functions and several algorithms for inference of independent identically distributed data, including the finite difference stochastic approximation method, which has not been used before for this problem.
Date of publication 2017
Code Programming Language R
Comment

Copyright Researcher 2021