Estimating the parameters of a generalized lambda distribution

@article{Fournier2007EstimatingTP,
  title={Estimating the parameters of a generalized lambda distribution},
  author={B. Fournier and N. Rupin and Maxence Bigerelle and D. Najjar and Alain Iost and Rand R. Wilcox},
  journal={Computational Statistics & Data Analysis},
  year={2007},
  volume={51},
  pages={2813-2835}
}
The method of moments is a popular technique for estimating the parameters of a generalized lambda distribution (GLD), but published results suggest that the percentile method gives superior results. However, the percentile method cannot be implemented in an automatic fashion, and automatic methods, like the starship method, can lead to prohibitive execution time with large sample sizes. A new estimation method is proposed that is automatic (it does not require the use of special tables or… CONTINUE READING
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