[R] covariance matrix TL-moments

J. R. M. Hosking JRMH001 at gmail.com
Sun Jul 3 22:35:08 CEST 2011

On 2011-07-03 04:48, osama hussien wrote:
> The backage lmoments computes the L-moments covariances. does anyone
> know a backage to compute
> the TL-moments covariances
> thank

As far as I know the answer is no.  But if you study the code of
function varLmoments in package nsRFA and see how closely the
computations correspond to the expression for the covariances of
"untrimmed" L-moments that you get by setting s=0 and t=0 in Hosking
(2007, last two displayed equations on p.3029), it should not be
difficult to extend those computations to the "trimmed" case with
s>0 or t>0.

J.R.M. Hosking (2007). Some theory and practical uses of trimmed
L-moments. Journal of Statistical Planning and Inference, 137,

J. R. M. Hosking

More information about the R-help mailing list