Fitting a Generalized Lambda Distribution Using a Percentile-KS (P-KS) Adequacy Criterion

Authored by: B. Fournier , N. Rupin , M. Bigerelle , D. Najjar , A. Iost

Handbook of Fitting Statistical Distributions with R

Print publication date:  October  2010
Online publication date:  April  2016

Print ISBN: 9781584887119
eBook ISBN: 9781584887126
Adobe ISBN:

10.1201/b10159-10

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Abstract

The family of four-parameter Generalized Lambda Distributions (GLD) is known for its high flexibility. It provides an accurate approximation of most of the usual statistical distributions (e.g., Gaussian, uniform, lognormal, Weibull) as illustrated in Figure 7.1-1 and detailed by Karian and Dudewicz (see Karian and Dudewicz (2000)). Generalized lambda distributions are used in many fields where precise data modeling is required such as finance (Tarsitano (2004) and Corrado (2001)), corrosion (Najjar, Bigerelle, Lefebvre, and Iost, (2003)), meteorology (Öztürk and Dale (1982)), fatigue of materials (Bigerelle, Najjar, Fournier, Rupin, and Iost, (2005)), independent component analysis (Eriksson, Karvanen, and Koivunen, (2000) and Karvanen, Eriksson, and Koivunen, (2002)), statistical process control (Pal (2005), Fournier, Rupin, Bigerelle, Najjar, and Iost (2006) and Negiz and Cinar (1997)), simulation of queue systems (Dengiz (1988)), or for generating random numbers (Stengos and Wu (2004) and Wilcox (2002)).

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