# An efficient estimator of the parameters of the Generalized Lambda Distribution

## TL;DR

This paper introduces a fast, two-step estimator for the four parameters of the Generalized Lambda Distribution, improving computational efficiency while maintaining good performance, enabling easier interval estimation via bootstrapping.

## Contribution

A novel, simple two-step estimator for the Generalized Lambda Distribution parameters that is faster and performs well compared to existing methods.

## Key findings

- Estimator is significantly faster than existing methods.
- Performs well in simulations and real data applications.
- Enables effective bootstrap-based interval estimation.

## Abstract

Estimation of the four generalized lambda distribution parameters is not straightforward, and available estimators that perform best have large computation times. In this paper, we introduce a simple two-step estimator of the parameters that is comparatively very quick to compute and performs well when compared with other methods. This computational efficiency makes the use of bootstrapping to obtain interval estimators for the parameters possible. Simulations are used to assess the performance of the new estimators and applications to several data sets are included.