Confidence Interval and EstimatedDistribution

pedro · February 17, 2014, 7:28am

Is there an easy way of obtaining a confidence interval directly from EstimatedDistribution?

In NonLinearModelFit there’s the MeanPredictionBands and the ParameterConfidenceIntervalTable.
There are still, also, the MeanCI and VarianceCI functions available.

But how to easily implement a CI analysis, on a distribution fitted by EstimatedDistribution (or FindDistributionParameters)?

szhorvat · February 17, 2014, 4:46pm

I (finally) found the same question on Mathematica.SE:

http://mathematica.stackexchange.com/questions/6498/standard-errors-for-maximum-likelihood-estimates-in-finddistributionparameters

You can also consider using R’s fitdistr() or mle() functions through RLink, though resorting to an external system is not the most convenient or pleasant way …

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Confidence Interval and EstimatedDistribution

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