Re: [R] Fitting usual distributions.

From: Pair Pierre-Matthieu <pmpair_at_softia.fr>
Date: Wed 17 May 2006 - 17:26:44 EST

Prof Brian Ripley a écrit :

> On Mon, 15 May 2006, Pair Pierre-Matthieu wrote:
>
>> Hello,
>>
>> I am currently writing a program whose goal is to fit usual
>> distributions (estimating parameters and confidence intervals for a
>> given distribution).
>>
>> After some research in R, R-help and google I have found most of what I
>> was looking for (especially thanks to MASS - fitdistr() ), however there
>> are still a few distributions I could not find R code for: Multinormal,
>> Truncated normal, Triangular, Uniform, Binomial, Multinomial.
>>
>> If there are any packages to fit these, a pointer in the right direction
>> would be most appreciated.
>
>
> You don't need R code for most of these.
>
> Binomial, Multinomial: the MLEs are the sample proportions, and the
> se's are textbook formulae. Can also be done in fitdistr.
>
> Triangular, Uniform: non-standard estimation problems, but the MLEs of
> the
> support are the sample maximum and minimum. For a CI, you will need a
> profile likelihood interval, or some such.
>
> Truncated normal: pretty easy to do in fitdistr, provided the
> truncation point is known (is it?).
>
> Multinormal: the MLEs are the sample mean and the sample covariance
> (divisor n).
>
Thank you for your help, this will be useful.

To answer your question, in the case of the truncated normal, the the truncation point is unfortunately not necessarily known. I am currently trying to figure out how to estimate the distribution parameters in this case. If you are interested, I will post the answer when I have it.

Thanks again,

Pierre-Matthieu Pair
Softia Ingénierie
pmpair@softia.fr



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