On Tue, 23 Sep 2008, Ted Byers wrote:
Thanks Timur
While assessing whether or not the best option would be a normal
distribution (it won't be, the data in this case LOOKS more poisson, or if I
explude the first week of results, a negative exponential; and in my other
case, cauchy is more likely), I really need a test that can be applied
regardless of the distribution to see which distribution fits best. Using
log-likelihood, there doesn't seem to be much to choose between exponential
and poisson (the log-likelihhod for them being almost the same, regardless
of the sample even tough the parameters are very different from one sample
to the next - I don't understand why yet), and the others I have tried are
MUCH worse, but I'm not done yet.
Are you aware of functions that allow estimation of all the parameters of a
non-central distribution? I ask because a problem I'll be working on in a
few weeks will involve the kind of skew produced by a non-central
distribution (among others). I see some functions allow you to work with
skewed distributions (e.g. "[dpqr]stable the skewed stable distribution ")
but I have not yet found functions that alow one to estimate their
parameters from real data.
Thanks,
Ted
Ted,
You have talked about heavy tailed, skewed distributions. To fit these
you need to look at some packages. There are a number of possibilities in
fBasics which is part of Rmetrics, sn is a very nice package for the skew
normal and skew t distributions, and there are packages for the hyperbolic
and generalized hyperbolic distributions: HyperbolicDist, ghyp and QRMlib.
You won't find much on goodness of fit tests I think. I have an
implementation of the Cramer-von Mises test for the hyperbolic in my
package (HyperbolicDist) but I am not aware of a lot else being available.
David Scott
_________________________________________________________________
David Scott Department of Statistics, Tamaki Campus
The University of Auckland, PB 92019
Auckland 1142, NEW ZEALAND
Phone: +64 9 373 7599 ext 86830 Fax: +64 9 373 7000
Email: [EMAIL PROTECTED]
Graduate Officer, Department of Statistics
Director of Consulting, Department of Statistics
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
