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Re: question: fitting a distribution from quantiles

• To: mathgroup at smc.vnet.net
• Subject: [mg126471] Re: question: fitting a distribution from quantiles
• From: Darren Glosemeyer <darreng at wolfram.com>
• Date: Sat, 12 May 2012 04:57:38 -0400 (EDT)
• Delivered-to: l-mathgroup@mail-archive0.wolfram.com
• References: <201205110414.AAA23695@smc.vnet.net>

On 5/10/2012 11:14 PM, László Sándor 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>