Skip to main content

Given an exact formula, how can Mathematica find a probability distribution whose PDF matches it?


So, given some data, Mathematica 10.2 can now attempt to figure out what probability distribution might have produced it. Cool! But suppose that, instead of having data, we have something that is in some ways better -- a formula. Let's call it $f$. We suspect -- perhaps because $f$ is non-negative over some domain and because the integral of $f$ over that domain is 1 -- that $f$ is actually the PDF of some distribution (Normal, Lognormal, Gamma, Weibull, etc.) or some relatively simple transform of that distribution.


Is there any way that Mathematica can help figure out the distribution (or simple transform) whose PDF is the same as $f$?


Example: Consider the following formula:



1/(2*E^((-m + Log[5])^2/8)*Sqrt[2*Pi])

$$\frac{e^{-\frac{1}{8} (\log (5)-m)^2}}{2 \sqrt{2 \pi }}$$


As it happens -- and as I discovered with some research and guesswork -- this formula is the PDF of NormalDistribution[Log[5], 2] evaluated at $m$. But is there a better way than staring or guessing to discover this fact? That is, help me write FindExactDistribution[f_, params_].


Notes




  • The motivation for the problem comes from thinking about Conjugate Prior distributions but I suspect it might have a more general application.





  • One could start with mapping PDF evaluated at $m$ over a variety of continuous distributions. And if I did this I would at some point get to what I will call $g$, which is the PDF or the NormalDistribution with parameters $a$ and $b$ evaluated at $m$.


    1/(b*E^((-a + m)^2/(2*b^2))*Sqrt[2*Pi])




$$\frac{e^{-\frac{(m-a)^2}{2 b^2}}}{\sqrt{2 \pi } b}$$


But unless I knew that if I replaced $a$ by Log[5] and $b$ by $2$ that I would get $f$, this fact would not mean a lot to me. I suppose I could look at the TreeForm of $f$ and $g$ and I would notice certain similarities, and that might be a hint, but I am not sure how to make much progress beyond that observation. Ultimately, the problem looks to be about finding substitutions in parts of a tree ($g$) which, after evaluation, yield a tree that matches a target $f$. I have the suspicion that this is a difficult problem with an NKS flavor but one for which Mathematica and its ability to transform expressions might be well suited.




I appreciate the responses here. But let me provide an example that is perhaps not so easy. Suppose the target function f is as follows: $\frac{7}{10 (a-2)^2}$ for the domain ($-\infty,\frac{13}{10}$]. If we create a probability distribution out of this and then generate 10,000 random samples from the distribution and then run FindDistribution


 dis = ProbabilityDistribution[7/(10 (-2 + a)^2), {a, -\[Infinity], 13/10}];
rv = RandomVariate[dis,10^4];

fd=FindDistribution[rv,5]

The result is a mixture distribution of normal distributions, a beta distribution, a weibull distribution, a normal distribution and a mixture distribution of a normal distribution and a gamma distribution.


The mixture distributions are clearly of the wrong form, the normal distribution is clearly not right, Although I am not positive, I don't believe the Weibull Distribution or the Beta Distribution is correct either. In fact, I don't know what the correct answer is, though I think it might be a fairly simple transform of a single parameter distribution. The point, however, is that the FindDistribution process, does not seem to work in this case. And that's why I am hoping for something better.




Comments

Popular posts from this blog

plotting - How to draw lines between specified dots on ListPlot?

I would like to create a plot where I have unconnected dots and some connected. So far, I have figured out how to draw the dots. My code is the following: ListPlot[{{1, 1}, {2, 2}, {3, 3}, {4, 4}, {1, 4}, {2, 5}, {3, 6}, {4, 7}, {1, 7}, {2, 8}, {3, 9}, {4, 10}, {1, 10}, {2, 11}, {3, 12}, {4,13}, {2.5, 7}}, Ticks -> {{1, 2, 3, 4}, None}, AxesStyle -> Thin, TicksStyle -> Directive[Black, Bold, 12], Mesh -> Full] I have thought using ListLinePlot command, but I don't know how to specify to the command to draw only selected lines between the dots. Do have any suggestions/hints on how to do that? Thank you. Answer One possibility would be to use Epilog with Line : ListPlot[ {{1, 1}, {2, 2}, {3, 3}, {4, 4}, {1, 4}, {2, 5}, {3, 6}, {4, 7}, {1, 7}, {2, 8}, {3, 9}, {4, 10}, {1, 10}, {2, 11}, {3, 12}, {4, 13}, {2.5, 7}}, Ticks -> {{1, 2, 3, 4}, None}, AxesStyle -> Thin, TicksStyle -> Directive[Black, Bold, 12], Mesh -> Full, Epilog -> { Line[ ...

equation solving - Invert and fit implicitly defined curve

I need to fit an implicitly defined curve. I thought I could get some data out of Solve , and then using FindFit . Therefore, I would like to find the relation the parametric curve defined by $F(x,y)=0$: Solve[-(1/2) + 1/2 (0.41202 BesselK[0, 0.1 Sqrt[x^2 + y^2]] + (0.101483 x BesselK[1, 0.1 Sqrt[x^2 + y^2]])/Sqrt[x^2 + y^2]) == 0, y] But I can't get an output: Solve was unable to solve the system with inexact coefficients or the system obtained by direct rationalization of inexact numbers present in the system. Since many of the methods used by Solve require exact input, providing Solve with an exact version of the system may help. >> Edit: In particular, I would like to fit the data coming from the curve with the expression of another curve, and not with a function $f(x)$. In particular, since this clearly looks like a cardioid , I would like it to fit to something like it. What other strategies could I try?

dynamic - How can I make a clickable ArrayPlot that returns input?

I would like to create a dynamic ArrayPlot so that the rectangles, when clicked, provide the input. Can I use ArrayPlot for this? Or is there something else I should have to use? Answer ArrayPlot is much more than just a simple array like Grid : it represents a ranged 2D dataset, and its visualization can be finetuned by options like DataReversed and DataRange . These features make it quite complicated to reproduce the same layout and order with Grid . Here I offer AnnotatedArrayPlot which comes in handy when your dataset is more than just a flat 2D array. The dynamic interface allows highlighting individual cells and possibly interacting with them. AnnotatedArrayPlot works the same way as ArrayPlot and accepts the same options plus Enabled , HighlightCoordinates , HighlightStyle and HighlightElementFunction . data = {{Missing["HasSomeMoreData"], GrayLevel[ 1], {RGBColor[0, 1, 1], RGBColor[0, 0, 1], GrayLevel[1]}, RGBColor[0, 1, 0]}, {GrayLevel[0], GrayLevel...