On Wed, 17 May 2006, Pair Pierre-Matthieu wrote:
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.
In that case it is a non-standard estimation problem, so the issue is
statistical not R.
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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