Sample Size and the Accuracy of the Generalized Lambda Distribution

10 Pages Posted: 4 Nov 2008

See all articles by George S. Ford

George S. Ford

Phoenix Center for Advanced Legal & Economic Public Policy Studies

Sarah Skinner

University of Louisiana at Lafayette

Date Written: October 2, 2008

Abstract

The Generalized Lambda Distribution is a popular tool for generating random numbers following a wide range of non-normal, asymmetric distributions. In this short paper we assess the accuracy of the technique in replicating moments across a range of "sample sizes." We find that accuracy is highly dependent on sample size, particularly with respect to the third and fourth moments. Generally, acceptable accuracy is accomplished with no less than 2,500 observations, but this finding depends critically on the size of the fourth moment.

Keywords: Generalized Lambda Distribution, Simulation, Monte Carlo

Suggested Citation

Ford, George S. and Skinner, Sarah, Sample Size and the Accuracy of the Generalized Lambda Distribution (October 2, 2008). Available at SSRN: https://ssrn.com/abstract=1293952 or http://dx.doi.org/10.2139/ssrn.1293952

George S. Ford (Contact Author)

Phoenix Center for Advanced Legal & Economic Public Policy Studies ( email )

5335 Wisconsin Avenue, NW
Suite 440
Washington, DC 20015
United States

Sarah Skinner

University of Louisiana at Lafayette ( email )

Lafayette, LA 70504
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
51
Abstract Views
801
rank
418,847
PlumX Metrics