fitlm_rayleigh

Fits the two-parameter Rayleigh distribution to an xts series by the method of L-moments. Closed-form expressions derived from gamma-function integrals are used: the location is recovered from \(\lambda_1\) and \(\lambda_2\), and the scale follows from the squared second L-moment ratio. Zero values below zero_threshold may be excluded via ignore_zeros. Goodness-of-fit is assessed via GOF_tests.

Usage

fitlm_rayleigh(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 parameters), TheorLMom (theoretical L-moments), DataLMom (sample L-moments), and GoF (goodness-of-fit metrics).

Examples

x <- xts::xts(rrayleigh(365, location = 0, scale = 2),
              order.by = as.Date("2020-01-01") + 0:364)
fit <- fitlm_rayleigh(x)
#> Warning: longer object length is not a multiple of shorter object length
#> Warning: longer object length is not a multiple of shorter object length
#> Warning: longer object length is not a multiple of shorter object length
fit$Param
#> $location
#>        l_1        l_2 
#> -6.1572535  0.1673074 
#> 
#> $scale
#>      l_1      l_2 
#> 6.947717 1.901447 
#>