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### How to estimate a probability distribution

by zli034 (Monk)
 on Sep 01, 2008 at 03:21 UTC Need Help??
zli034 has asked for the wisdom of the Perl Monks concerning the following question:

Hi all:

A given continuous variable which is not normally distributed, how can I work out the Probability Density Distribution Function? I have been search on this topic for couple weeks. Closest tutorial is on wikipedia about kernel estimation by bayes theorem. That is a diabete study.

But I am not sure that if I use the kernel technique the area under the probability curve can be 1. Sum of the probability density is 1, tell me if I got this wrong.

So far I treat the density function discrete for simulation I working on to get around the non-deterministic function problem. And I suspect that there is actually no very good techniques to estimate this kind of function; since, all baysian network I saw treat probability density function discrete.

• Comment on How to estimate a probability distribution

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Re: How to estimate a probability distribution
by GrandFather (Sage) on Sep 01, 2008 at 04:58 UTC

And this relates to Perl how?

Perl reduces RSI - it saves typing
Re: How to estimate a probability distribution
by salva (Abbot) on Sep 03, 2008 at 07:45 UTC
One way to do it:
• Build an histogram for your data so you can see how it looks like.
• Find some parametrized density functions having a similar shape.
• Estimate the parameters for those functions using the data set.
• Perform a test of goodness of fit on the functions to find if any of them is acceptable (using a different data set if possible).
Re: How to estimate a probability distribution
by Anonymous Monk on Sep 01, 2008 at 03:50 UTC
Your professor must be mean if he doesn't teach you anything...
This is definitely not a trivial problem. Lots of developments going on this.
hai,,,can just tell how to do it

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