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How to estimate a probability distribution

by zli034 (Monk)
on Sep 01, 2008 at 03:21 UTC ( #708103=perlquestion: print w/ replies, xml ) 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
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
Re: How to estimate a probability distribution
by GrandFather (Cardinal) 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 (Monsignor) 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).

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