[R] Fitting distributions

[Prof Brian Ripley]

This has come up a couple of times recently.  MASS4 will have a
general-purpose function for maximum-likelihood fitting and a set of
wrappers for common distributions.

Here's a preview of the R version (rapidly converted this morning).
You can do things like

fitdist(x, dnorm, list(mean = 0, sd = 1))
fitdist(x, dnorm, list(sd = 1), mean=0.5)

the latter fixing the mean.

This is not much tested (in R and much of it had to be changed for R) but
should give a flavour of what is possible.  Eventually there will be
a much more comprehensive interface.

fitdist <- function(x, dist, start, ...)
{
    myfn <- function(parm, ...) -sum(log(dens(parm, ...)))

    dens1 <- function(parm, x, ...) dist(x, parm, ...)
    dens2 <- function(parm, x, ...) dist(x, parm[1], parm[2], ...)
    dens3 <- function(parm, x, ...) dist(x, parm[1], parm[2], parm[3], ...)
    dens4 <- function(parm, x, ...)
        dist(x, parm[1], parm[2], parm[3], , parm[4], ...)

    if(missing(x) || length(x) == 0 || mode(x) != "numeric")
        stop("`x' must be a non-empty numeric vector")
    if(missing(dist) || !is.function(dist))
        stop("`dist' must be supplied as a function")
    if(missing(start) || !is.list(start))
        stop("`start' must be a named list")
    nm <- names(start)
    ## reorder arguments to dist
    f <- formals(dist)
    args <- names(f)
    m <- match(nm, args)
    if(any(is.na(m)))
        stop("`start' specifies names which are not arguments to `dist'")
    formals(dist) <- c(f[c(1, m)], f[-c(1, m)])
    ## try to be somewhat efficient
    switch(length(nm),
           "1" = {dens <- dens1},
           "2" = {dens <- dens2},
           "3" = {dens <- dens3},
           "4" = {dens <- dens3},
           stop("only handle 1:4 variable parms"))
    res <- optim(start, myfn, x=x, ...)
    if(res$convergence > 0) stop("optimization failed")
    res$par
}


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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