Message Boards Message Boards

1
|
3771 Views
|
4 Replies
|
3 Total Likes
View groups...
Share
Share this post:

Find custom distribution parameters that best fit the PDF/CDF data

Posted 3 years ago

I have the probability and cumulative density histograms of some data. I need to find the parameters of a custom distribution that best fit the data. For probability distributions included in Mathematica, one could use the FindDistribution or the FindDistributionParameters functionalities. Is there any similar function I could use in my case?

POSTED BY: Vaggelis Pap
4 Replies
Posted 3 years ago

Cross-posted at MathematicaStackExchange

Unless you have the raw data, then ProbabilityDistribution followed by FindDistributionParameters won't help you once you've binned the data into a histogram.

It's not very complicated to get the maximum likelihood estimates but you'll need to be able to calculate (either exactly or approximately) the CDF of the distribution. See the example link.

POSTED BY: Jim Baldwin

Hi Vaggelis

If you know the PDF of the custom distribution, then first define it using the function ProbabilityDistribution

Afterwards, use this custom distribution and the data to make the fit using the function FindDistributionParameters as you mentioned. Hope that answers your question.

POSTED BY: Ahmed Elbanna
Posted 3 years ago

Thank you for your comment Ahmed. I tried your suggestion, but I can not get a result. After running the FindDistributionParameters the Mathematica after a while crashes. I guess the calculation of a custom distribution parameters must be very complicated.

POSTED BY: Vaggelis Pap
  • My advice is to make sure to put Assumptions on the parameters while defining your distribution using ProbabilityDistribution. This can reduce required calculations and prevent Kernel from crashing.
  • Also you can reduce your code to the minimum and share it here so me or other members can help.
POSTED BY: Ahmed Elbanna
Reply to this discussion
Community posts can be styled and formatted using the Markdown syntax.
Reply Preview
Attachments
Remove
or Discard

Group Abstract Group Abstract