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Kobus Bekker

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University of the Free State (previously)

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15 Sep 2004 lmom.m Calculates any number of l-moments. Author: Kobus Bekker statistics, probability, lmoments, calculates, data, vector 21 5
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07 Sep 2012 lmom.m Calculates any number of l-moments. Author: Kobus Bekker Kun

T4 calculation is correct. Actually the estimate of T4 is random variable by itself, which follows normal distribution asymptotically.

Following code illustrate the idea, and the sample mean T4 approach 0.1226 in the long run.

N = 10000;
ks = ones(N,1);
for i=1:N
x = randn(1000,1);
l = lmom(x,4);
ks(i) = l(4)/l(2);
end
hist(ks,100);
title(sprintf('Avg.T4=%.4f',mean(ks)));

26 Apr 2011 lmom.m Calculates any number of l-moments. Author: Kobus Bekker 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

21 Apr 2011 lmom.m Calculates any number of l-moments. Author: Kobus Bekker Luca

21 Apr 2011 lmom.m Calculates any number of l-moments. Author: Kobus Bekker Luca

ok, I found it

25 Nov 2010 lmom.m Calculates any number of l-moments. Author: Kobus Bekker 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?

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