Re: question: fitting a distribution from quantiles

*To*: mathgroup at smc.vnet.net*Subject*: [mg126455] Re: question: fitting a distribution from quantiles*From*: Darren Glosemeyer <darreng at wolfram.com>*Date*: Sat, 12 May 2012 04:52:06 -0400 (EDT)*Delivered-to*: l-mathgroup@mail-archive0.wolfram.com*References*: <201205110414.AAA23695@smc.vnet.net> <4FAD3253.3030007@wolfram.com> <CAG-ehZ3=yMw1VvrU_1RMdD=hH_0nJ5ahP+G-Om1nJORRHD1BWg@mail.gmail.com>

There's a typo in the code using CDF directly. For the cdf, you need to use CDF[ParetoDistribution[k, a], x], then it will work fine. Darren Glosemeyer Wolfram Research On 5/11/2012 10:55 AM, LÃ¡szlÃ³ SÃ¡ndor wrote: > Thank you, Darren! > > I realized soon (much before the delay cause my the moderation of the > list) that I could fit a CDF. This even works with a ridiculously > aggregated data, e.g. only two (inverse) quantiles for a Pareto > distribution. However, FindFit did not work with Mathematica's > representation of the CDF (conditions?), only a hard-coded one. > > But before I paste my output (with a lengthy error message) below, let > me ask another question: What exactly are the benefits of keeping a > distribution object in the background? Am I just as well off with a > (smoothed) CDF and plugging it or transformations and integrals > everywhere? > > Basically, I want to use an empirical distribution in three ways: > -- "keep it as it is" (though it must be smoothed / approximated) as I > do need PDFs even though, as any real data, it comes discrete > -- fit a parametric distribution and use that everywhere where I would > have used the empirical > -- fit a mixture of parametric distributions (actually, it might be a > special mixture: I might concatenate two different (truncated) CDF for > different parts -- real incomes have a Pareto right tail but an > obviously non-Pareto bottom. > > Is this good idea to try to keep these as distributions, or as most > of my calculation will need to numeric anyway, I can give up early and > use the CDFs? > > Thanks! > > Now the output for yesterday: > > originalecdf = > {{500000,0.0182},{1000000,0.1003},{1500000,0.2487},{2000000,0.3871},{4000000,0.6802}} > ecdf = {{2000000,0.3871},{4000000,0.6802}} > FindFit[ecdf,CDF[ParetoDistribution[k,a]],{k,a},x] > > FindFit::nrlnum: The function value > {-0.3871+Function[\[FormalX],\[Piecewise]1. +Times[<<2>>]\[FormalX]>=k > 0.True > > > > ,Listable],-0.6802+Function[\[FormalX],\[Piecewise]1. > +Times[<<2>>]\[FormalX]>=k > 0.True > > > > ,Listable]} > is not a list of real numbers with dimensions {2} at {k,a} = {1.,1.}. >> > > FindFit[ecdf,1-(x / k)^(-a),{k,a},x] > {k->1.18709*10^6,a->0.938482} > > > > On Fri, May 11, 2012 at 11:37 AM, Darren Glosemeyer > <darreng at wolfram.com <mailto:darreng at wolfram.com>> wrote: > > On 5/10/2012 11:14 PM, LÃ¡szlÃ³ SÃ¡ndor wrote: > > Hi all, > > I have a project (with Mathematica 8) where the first step > would be to get the distribution describing my "data" which > actually only have quantiles (or worse: frequencies for > arbitrary bins). EstimatedDistribution[] looks promising, but > I don't know how to feed in this kind of data. Please let me > know if you know a fast way. > > Thank! > > > > There isn't enough information in your data for the types of > estimation done by EstimatedDistribution. > > The type of information you have in your data would lend itself > well to a least squares fit to the cdf of the distribution. As an > example, let's take this data: > > > In[1]:= data = BlockRandom[SeedRandom[1234]; > RandomVariate[GammaDistribution[5, 8], 100]]; > > We can use Min and Max to see the range of values and then bin > within that range to construct cutoff and frequency data. > > In[2]:= {Min[data], Max[data]} > > Out[2]= {13.7834, 112.429} > > > Here, xvals are the cutoffs and counts are the bin frequencies. > > In[3]:= {xvals, counts} = HistogramList[data, {{0, 15, 20, 50, > 100, 120}}] > > Out[3]= {{0, 15, 20, 50, 100, 120}, {1, 6, 55, 37, 1}} > > > We can get the accumulated probabilities as follows. > > In[4]:= probs = Accumulate[counts]/Length[data] > > 1 7 31 99 > Out[4]= {---, ---, --, ---, 1} > 100 100 50 100 > > > The analogue of your quantile values would be the right endpoints, > Rest[xvals]. > > In[5]:= quantiles = Rest[xvals] > > Out[5]= {15, 20, 50, 100, 120} > > > Now we can use the quantiles as the x values and the cdf values as > the y values for a least squares fitting to the CDF (parameters > may need starting values in general, but defaults worked fine in > this case): > > In[6]:= FindFit[Transpose[{quantiles, probs}], > CDF[GammaDistribution[a, b], x], {a, b}, x] > > Out[6]= {a -> 5.24009, b -> 8.88512} > > > Given that we know that the data don't extend to the right limit > of a gamma's support (gammas can be any positive values), we may > want to adjust the cdf values a bit. The following will shift all > the cdf values by 1/(2*numberOfDataPoints) in this particular case: > > In[7]:= FindFit[Transpose[{quantiles, probs - 1/(2 Length[data])}], > CDF[GammaDistribution[a, b], x], {a, b}, x] > > Out[7]= {a -> 5.3696, b -> 8.73319} > > > Darren Glosemeyer > Wolfram Research > >

**References**:**question: fitting a distribution from quantiles***From:*László Sándor <sandorl@gmail.com>

**Re: question: fitting a distribution from quantiles**

**Re: question: fitting a distribution from quantiles**

**Re: question: fitting a distribution from quantiles**

**Re: question: fitting a distribution from quantiles**