Likelihood calculation for the g-and-k distribution

Here is an entry by Pierre Jacob on the derivation of exact likelihood values for the g-and-k distribution, which is often used as a toy workhorse for evaluating ABC methods (without producing exact posteriors).

Statisfaction

gandkhistogram Histogram of 1e5 samples from the g-and-k distribution, and overlaid probability density function

Hello,

An example often used in the ABC literature is the g-and-k distribution (e.g. reference [1] below), which is defined through the inverse of its cumulative distribution function (cdf). It is easy to simulate from such distributions by drawing uniform variables and applying the inverse cdf to them. However, since there is no closed-form formula for the probability density function (pdf) of the g-and-k distribution, the likelihood is often considered intractable. It has been noted in [2] that one can still numerically compute the pdf, by 1) numerically inverting the quantile function to get the cdf, and 2)  numerically differentiating the cdf, using finite differences, for instance. As it happens, this is very easy to implement, and I coded up an R tutorial at:

github.com/pierrejacob/winference/blob/master/inst/tutorials/tutorial_gandk.pdf

for anyone interested. This is part of the winference package that goes with…

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