Fits the Normal distribution to an xts series by the
method of L-moments. Parameters are obtained in closed form via
pelnor, which maps the first two sample L-moments
directly to the mean and standard deviation. 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_norm(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 mean and sd), TheorLMom
(theoretical L-moments), DataLMom (sample L-moments), and
GoF (goodness-of-fit metrics).
Examples
x <- xts::xts(rnorm(365, mean = 0, sd = 3),
order.by = as.Date("2020-01-01") + 0:364)
fit <- fitlm_norm(x)
fit$Param
#> $mean
#> [1] 0.1994077
#>
#> $sd
#> [1] 3.02824
#>
