[R] Fitting usual distributions.

[Prof Brian Ripley]

On Wed, 17 May 2006, Pair Pierre-Matthieu wrote:

> Prof Brian Ripley a écrit :
>
>> On Mon, 15 May 2006, Pair Pierre-Matthieu wrote:
>> 
>>> Hello,
>>> 
>>> I am currently writing a program whose goal is to fit usual
>>> distributions (estimating parameters and confidence intervals for a
>>> given distribution).
>>> 
>>> After some research in R, R-help and google I have found most of what I
>>> was looking for (especially thanks to MASS - fitdistr() ), however there
>>> are still a few distributions I could not find R code for: Multinormal,
>>> Truncated normal, Triangular, Uniform, Binomial, Multinomial.
>>> 
>>> If there are any packages to fit these, a pointer in the right direction
>>> would be most appreciated.
>> 
>> 
>> You don't need R code for most of these.
>> 
>> Binomial, Multinomial: the MLEs are the sample proportions, and the se's 
>> are textbook formulae.  Can also be done in fitdistr.
>> 
>> Triangular, Uniform: non-standard estimation problems, but the MLEs of the
>> support are the sample maximum and minimum.  For a CI, you will need a 
>> profile likelihood interval, or some such.
>> 
>> Truncated normal: pretty easy to do in fitdistr, provided the truncation 
>> point is known (is it?).
>> 
>> Multinormal: the MLEs are the sample mean and the sample covariance 
>> (divisor n).
>> 
> Thank you for your help, this will be useful.
>
> To answer your question, in the case of the truncated normal, the the 
> truncation point is unfortunately not necessarily known. I am currently 
> trying to figure out how to estimate the distribution parameters in this 
> case. If you are interested, I will post the answer when I have it.

In that case it is a non-standard estimation problem, so the issue is 
statistical not R.

-- 
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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595