Fits the two-parameter Gamma distribution to an xts series
by the method of L-moments. Parameters are obtained in closed form
via pelgam, which matches the sample L-moments
to the theoretical L-moment ratios of the Gamma distribution. Zero
values below zero_threshold may be excluded via
ignore_zeros. Goodness-of-fit is assessed via
GOF_tests, and theoretical L-moments are computed from the
fitted parameters for comparison with the sample.
Usage
fitlm_gamma(x, ignore_zeros = FALSE, zero_threshold = 0.01)
Arguments
- x
An xts object containing the time series data.
- ignore_zeros
Logical. If TRUE, values below
zero_threshold are excluded. Default FALSE.
- zero_threshold
Numeric. Threshold below which values are treated
as zero. Default 0.01.
Value
A list with elements Distribution, Param (named
list of fitted scale and shape), TheorLMom
(theoretical L-moments), DataLMom (sample L-moments), and
GoF (goodness-of-fit metrics).
Examples
x <- xts::xts(rgamma(365, scale = 3, shape = 0.5),
order.by = as.Date("2020-01-01") + 0:364)
fit <- fitlm_gamma(x)
fit$Param
#> $scale
#> [1] 3.153804
#>
#> $shape
#> [1] 0.4678799
#>
