[R] computing distribution function online

[Uwe Ligges]

Vadim Ogranovich wrote:

> Hi,
>  
> I am looking for a means to compute empirical distribution function for
> a very large data set and evolution of that edf with time.
>  
> Here are some specifics. Each day I have an estimate of a distribution
> function and a new sample of about 1e4 points from the distribution in
> question. I want to update my estimate to include the new observations
> (with some aging coefficient to adapt to the changes of the df w/ time).
> Is there any R (or even non-R) code that can do this? Any relevant
> references will be appreciated as well.


Hmm. I don't know of general updating algorithms (there may be some, 
though!). For, e.g., a Bernoulli and Binomial distribution stuff seems 
to be easy, but for some other distributions things become complex, so 
it might be worthwhile to specify the class of distributions you are 
going to estimate in  ...

Uwe Ligges



> Thanks,
> Vadim
>  
> 
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