lmom.m

Calculates any number of l-moments.

Description

This m-file calculates any number of l-moments for given data vector X. It uses probability weighted moments (can actually edit the file to give any number of pwm's) and the coefficients of the shifted Legendre polynomial to calculate the l-moments.

• MATLAB release: MATLAB 6.5 (R13)
• Other requirements: FILE REQUIRED: % LegendreShiftPoly.m by Peter Roche, 12-08-2004. This file is available on the Matlab File Exchange. Thanks to Peter for his work.

[Steven Gray]

Fast and very useful.

[Anand Anand]

I generated 1000 random nos from normal distribution(5,0.2)..i tried lmom(x)...the first three moments are right but the 4 moment kurtosis comes around 0.0137 while L4 for a normal dist is 0.1226...What is causing this discrepancy?

[Luca]

ok, I found it

[Luca]

 

[Luca]

I tried this code:
x = randn(100000,1);
L = lmom(x,4)
L =
    0.0038 0.5650 0.0005 0.0685

In fact L4 != 0.1226 !!!

but you can evaluate:
T4 = L4/L2 = 0.1213