Estimate mu and sigma

Aug 9, 2013 at 2:09 PM
Hi,

I have a sample of values, and I like to find the mu and sigma to fit to a logn distribution.

I try to convert a Matlab code, that is using the lognfit method.

Does anybody has an idea to do this?
Coordinator
Aug 15, 2013 at 8:30 AM
I've just added a LogNormal.Estimate function for exactly that (maximum likelihood) that will be included in the next release.

In the meantime, simply take the natural logarithm of each sample and then compute mean (-> mu) and standard deviation (-> sigma) of these resulting samples.
Marked as answer by cdrnet on 10/3/2013 at 3:32 PM
Aug 15, 2013 at 8:40 AM

Thanks a lot for the answer.
I'll have a look soon.

Le 15 août 2013 09:30, "cdrnet" <[email removed]> a écrit :

From: cdrnet

I've just added a LogNormal.Estimate function for exactly that (maximum likelihood) that will be included in the next release.

In the meantime, simply take the natural logarithm of each sample and then compute mean (-> mu) and standard deviation (-> sigma) of these resulting samples.

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Aug 21, 2013 at 10:49 AM
Hi,
Do you have the same method for a normal distribution (like "normfit" MatLab method) to get mu and sigma ?

By the way, where is the extention for MeanVariance ?

Thanks a lot !
Coordinator
Aug 21, 2013 at 4:48 PM
Yes, I had added the equivalent to the Normal distribution as well, in the same commit.

MeanVariance is new in the Statistics.Statistics class, but you can just use Mean and Variance separately to the same effect (although two passes).

Both will be available in the next release.

Thanks,
Christoph
Marked as answer by cdrnet on 10/3/2013 at 3:32 PM
Aug 21, 2013 at 5:18 PM
Thanks Christoph !

An other question :
Is it possible to have a "public double InverseCumulativeDistribution(double p)" method in LogNormal class, just as it is in Normal class ?

Thanks again,
Vinny
Coordinator
Aug 23, 2013 at 7:54 PM