Zurich, Mar 2012 - Rmetrics gldist Package

We like to bring to your attention a new Rmetrics package "gldist: An Asymmetry-Steepness Parameterization of the Generalized Lambda Distribution" written by Yohan Chalabi as part of his PhD Thesis and coauthered by Diethelm Würtz.

The generalized lambda distribution (GLD) is a versatile distribution that can accommodate a wide range of shapes, including fat-tailed and asymmetric distributions. This package implements a more intuitive parameterization of the GLD that expresses the location and scale parameters directly as the median and inter-quartile range of the distribution. The remaining two shape parameters characterize the asymmetry and steepness of the distribution respectively. The fitting of the GLD to empirical data can be reduced to a two-parameter estimation problem where the location and scale parameters are estimated by their robust sample estimators. Moreover, the parameterization can be used to compare data sets in a convenient asymmetry and steepness shape plot. The underline C routines are written such that compilers that support vectorized mathematical operations can automatically vectorize the most time consuming loops (tested with icc 12.1.0). The package includes the usual distribution functions, fitting routines and a shape plot function.