Estimation of the generalized lambda distribution from censored data

Estimation of the generalized lambda distribution from censored data

Joseph Mercy and M. Kumaran

Source: Braz. J. Probab. Stat. Volume 24, Number 1 (2010), 42-56.

Abstract

Decision making based on censored data is a problem of serious concern as such data can provide only limited information compared to the corresponding uncensored data. In this article we describe a very general method of estimating the distribution of type I and II singly censored data. We derive single unified expressions for the probability weighted moments and L-moments of all univariate continuous distributions using a four-parameter family of distributions known as the Generalised Lambda Distribution (GLD) and use them to estimate the density of complete and censored data.

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Keywords: Censored data; density estimation; Generalized Lambda Distribution family; L-moments; partial probability weighted moments

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.bjps/1262271214
Digital Object Identifier: doi:10.1214/08-BJPS012
Mathematical Reviews number (MathSciNet): MR2580987

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