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KAPPDFName:
with k and h denoting the shape parameters and \( \xi \) and \( \alpha \) denoting the location and scale parameters, respectively, and where F is the kappa cumulative distribution function. The upper bound of x is
The lower bound of x is
The standard form of the distribution is defined as \( \xi \) = 0 and \( \alpha \) = 1. The cases h = -1, h = 0, and h = 1 reduce to the Hosking generalized logistic distribution, the generalized extreme value distribution, and the generalized Pareto distribution, respectively. According to Hosking and Wallis, the most useful values of the shape parameters are when h >= -1.
<SUBSET/EXCEPT/FOR qualification> where <x> is a number, parameter, or variable; <k> is a number, parameter, or variable that specifies the first shape parameter; <h> is a number, parameter, or variable that specifies the second shape parameter; <xi> is a number, parameter, or variable that specifies the location parameter; <alpha> is a number, parameter, or variable that specifies the scale parameter; <y> is a variable or a parameter (depending on what <x> is) where the computed kappa pdf value is stored; and where the <SUBSET/EXCEPT/FOR qualification> is optional. The <xi> and <alpha> parameters are optional.
LET X2 = KAPPDF(X1,K,H)
LET H = <value>> LET Y = KAPPA RANDOM NUMBERS FOR I = 1 1 N> KAPPA PROBABILITY PLOT Y> KAPPA PROBABILITY PLOT Y2 X2> KAPPA PROBABILITY PLOT Y3 XLOW XHIGH> KAPPA KOLMOGOROV SMIRNOV GOODNESS OF FIT Y> KAPPA CHI-SQUARE GOODNESS OF FIT Y2 X2> KAPPA CHI-SQUARE GOODNESS OF FIT Y3 XLOW XHIGH> The following commands can be used to estimate the k and h shape parameter for the kappa distribution:
LET K2 = <value> LET H1 = <value> LET H2 = <value> KAPPA PPCC PLOT Y KAPPA PPCC PLOT Y2 X2 KAPPA PPCC PLOT Y3 XLOW XHIGH KAPPA KS PLOT Y KAPPA KS PLOT Y2 X2 KAPPA KS PLOT Y3 XLOW XHIGH The default values for K1 and K2 are -5 and 5, respectively. The default values for THETA1 and THETA2 are -2 and 5, respectively. The probability plot can then be used to estimate the location and scale (location = PPA0, scale = PPA1). The BOOTSTRAP DISTRIBUTION command can be used to find uncertainty intervals for the ppcc plot and the ks plot. The parameters of the kappa distribution can be estimated by the method of L-moments using the command
Dataplot uses Hoskings code for computing the L-moments parameter estimates. Hoskings report and associated Fortran code can be downloaded from the Statlib archive at
J. R. M. Hosking (2000), "Research Report: Fortran Routines for use with the Method of L-Moments", IBM Research Division, T. J. Watson Research Center, Yorktown Heights, NY 10598. Hoskings (1990), "L-moments: Analysis and Estimation of Distribution using Linear Combinations of Order Statistics", Journal of the Royal Statistical Society, Series B, 52, pp. 105-124.
LET KP = DATA -0.5 0.1 0.5 1.0 LET H1 = -0.5 LET H2 = 0.1 LET H3 = 1 LET H4 = 2 . MULTIPLOT 2 2 MULTIPLOT CORNER COORDINATES 0 0 95 95 MULTIPLOT SCALE FACTOR 2 TITLE CASE ASIS TITLE OFFSET 2 X3LABEL LINE COLOR BLACK RED BLUE GREEN . LOOP FOR KK = 1 1 4 LET K = KP(KK) LET LL1 = KAPPPF(0.05,K,H1) LET UL1 = KAPPPF(0.95,K,H1) LET LL2 = KAPPPF(0.05,K,H2) LET UL2 = KAPPPF(0.95,K,H2) LET LL3 = KAPPPF(0.05,K,H3) LET UL3 = KAPPPF(0.95,K,H3) LET LL4 = KAPPPF(0.05,K,H4) LET UL4 = KAPPPF(0.95,K,H4) TITLE K = ^K, H = -0.5, 0.1, 1, 2 PLOT KAPPDF(X,K,H1) FOR X = LL1 0.01 UL1 AND PLOT KAPPDF(X,K,H2) FOR X = LL2 0.01 UL2 AND PLOT KAPPDF(X,K,H3) FOR X = LL3 0.01 UL3 AND PLOT KAPPDF(X,K,H4) FOR X = LL4 0.01 UL4 END OF LOOP END OF MULTIPLOT . JUSTIFICATION CENTER MOVE 50 97 TEXT Kappa PDF Functions let k = 0.3 let h = 0.8 let ksav = k let hsav = h . let xlow = kapppf(0.001,k,h) let xhigh = kapppf(0.999,k,h) . x3label . let y = kappa rand numb for i = 1 1 200 let y = 5*y . x3label title automatic title case asis . kappa ppcc plot y let k = shape1 let h = shape2 just center move 50 6 text k = ^k, h = ^h move 50 2 text ksav = ^ksav, hsav = ^hsav pause . char x line blank kappa prob plot y move 50 6 text ppa0 = ^ppa0, ppa1 = ^ppa1 move 50 2 text ppcc = ^ppcc char blank line solid pause . relative hist y limits freeze pre-erase off title let a1 = minimum y let a2 = maximum y line color blue red let ll = kapppf(0.01,k,h,ppa0,ppa1) let ul = kapppf(0.99,k,h,ppa0,ppa1) plot kappdf(x,k,h,ppa0,ppa1) for x = ll 0.01 ul line color black limits pre-erase on title automatic pause . let ksloc = ppa0 let ksscale = ppa1 kappa kolm smir goodness of fit y pause . kappa mle y . let k = kml let h = hml let ksloc = ximl let ksscale = alphaml relative hist y limits freeze pre-erase off let a1 = minimum y let a2 = maximum y line color blue red plot kappdf(x,k,h,ksloc,ksscale) for x = a1 0.01 a2 line color black limits pre-erase on . kappa kolm smir goodness of fit y Outputs for PPCC fitting. KOLMOGOROV-SMIRNOV GOODNESS-OF-FIT TEST NULL HYPOTHESIS H0: DISTRIBUTION FITS THE DATA ALTERNATE HYPOTHESIS HA: DISTRIBUTION DOES NOT FIT THE DATA DISTRIBUTION: KAPPA NUMBER OF OBSERVATIONS = 200 TEST: KOLMOGOROV-SMIRNOV TEST STATISTIC = 0.3728781E-01 ALPHA LEVEL CUTOFF CONCLUSION 10% 0.086* ACCEPT H0 0.085** 5% 0.096* ACCEPT H0 0.095** 1% 0.115* ACCEPT H0 0.114** * - STANDARD LARGE SAMPLE APPROXIMATION ( C/SQRT(N) ) ** - MORE ACCURATE LARGE SAMPLE APPROXIMATION ( C/SQRT(N + SQRT(N/10)) ) Outputs for L-moments fitting.
KAPPA PARAMETER ESTIMATION: SUMMARY STATISTICS: NUMBER OF OBSERVATIONS = 200 SAMPLE MEAN = 3.826996 SAMPLE STANDARD DEVIATION = 3.380150 SAMPLE MINIMUM = -1.124539 SAMPLE MAXIMUM = 13.35444 L-MOMENTS: FIRST SAMPLE L-MOMENT = 3.826996 SECOND SAMPLE L-MOMENT = 1.901070 THIRD SAMPLE L-MOMENT = 0.1587699 FOURTH SAMPLE L-MOMENT = 0.7563092E-01 ESTIMATE OF LOCATION = 0.2250852 ESTIMATE OF SCALE = 5.308738 ESTIMATE OF K = 0.3297350 ESTIMATE OF H = 0.7777997 KOLMOGOROV-SMIRNOV GOODNESS-OF-FIT TEST NULL HYPOTHESIS H0: DISTRIBUTION FITS THE DATA ALTERNATE HYPOTHESIS HA: DISTRIBUTION DOES NOT FIT THE DATA DISTRIBUTION: KAPPA NUMBER OF OBSERVATIONS = 200 TEST: KOLMOGOROV-SMIRNOV TEST STATISTIC = 0.3728781E-01 ALPHA LEVEL CUTOFF CONCLUSION 10% 0.086* ACCEPT H0 0.085** 5% 0.096* ACCEPT H0 0.095** 1% 0.115* ACCEPT H0 0.114** * - STANDARD LARGE SAMPLE APPROXIMATION ( C/SQRT(N) ) ** - MORE ACCURATE LARGE SAMPLE APPROXIMATION ( C/SQRT(N + SQRT(N/10)) )
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Date created: 07/15/2009 |