fitlm_gengamma_loc

Fits the four-parameter Generalised Gamma distribution with location to an xts series. The location parameter is supplied by the user and is subtracted from the data before fitting; the remaining three parameters (scale, shape1, shape2) are then fitted by delegating to fitlm_gengamma. The theoretical first L-moment is adjusted by adding back the location after the fit. Zero values below zero_threshold may be excluded via ignore_zeros. Goodness-of-fit is assessed via GOF_tests evaluated on the full four-parameter set.

Usage

fitlm_gengamma_loc(
  x,
  location,
  ignore_zeros = FALSE,
  zero_threshold = 0.01,
  order = c(1:5)
)

Arguments

x

An xts object containing the time series data.

location

Numeric. The location parameter of the distribution.

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.

order

Integer vector of L-moment orders passed to fitlm_gengamma. Default 1:5.

Value

A list with elements Distribution, Param (named list of fitted location, scale, shape1, shape2), TheorLMom (theoretical L-moments), DataLMom (sample L-moments), and GoF (goodness-of-fit metrics).

Examples

x <- xts::xts(rgengamma_loc(365, location = 1, scale = 2,
        shape1 = 0.8, shape2 = 0.5),
        order.by = as.Date("2020-01-01") + 0:364)
if (FALSE) { # \dontrun{
fit <- fitlm_gengamma_loc(x, location = 1)
fit$Param
} # }