A Doubling Technique for the Power Method TransformationsApplied Mathematical Sciences (2012)
AbstractPower method polynomials are used for simulating non-normal distributions with specified product moments or L-moments. The power method is capable of producing distributions with extreme values of skew (L-skew) and kurtosis (L-kurtosis). However, these distributions can be extremely peaked and thus not representative of real-world data. To obviate this problem, two families of distributions are introduced based on a doubling technique with symmetric standard normal and logistic power method distributions. The primary focus of the methodology is in the context of L-moment theory. As such, L-moment based systems of equations are derived for simulating univariate and multivariate non-normal distributions with specified values of L-skew, L-kurtosis, and L-correlation. Evaluation of the proposed doubling technique indicates that estimates of L-skew, L-kurtosis, and L-correlation are superior to conventional product-moments in terms of relative bias and relative efficiency when extreme non-normal distributions are of concern.
- Doubling Technique,
- Monte Carlo Simulation,
Publication DateFall October 5, 2012
Citation InformationMohan D. Pant and Todd C. Headrick. "A Doubling Technique for the Power Method Transformations" Applied Mathematical Sciences Vol. 6 Iss. 130 (2012)
Available at: http://works.bepress.com/mohan_pant/6/