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pythonmatlabstatistics
Jason
Jason

Reputation: 1365

Is there a Python method to calculate lognormal mean and variance?

I am trying to understand if there is a built in python function to calculate the lognormal mean and variance. I require this information only to then feed it into scipy.stats.lognorm for a plot overlaid on top of a histogram.

Simply using the numpy.mean and numpy.std does not seem to be the correct idea, as the lognormal mean and variance are specific and quite different than the numpy methods. In Matlab they have a handy function called lognstat that returns the mean and variance of a lognormal distribution, and I can't seem to track down an analogous method in Python. It is easy enough to code a work around, but I am wondering if this method exists in a library. Thanks.

Upvotes: 9

Views: 3990

Answers (3)

Miguel Trejo
Miguel Trejo

Reputation: 6667

The python equivalent of Joe Kington answer would be:

from scipy.stats import lognorm

# Mean of normal distribution
mu = 0
# Standard Deviation of normal distribution
sigma = 1

mean, var, *rest = lognorm.stats(sigma, moments='mvsk', scale=np.exp(mu))

Where mean and var would be the loc and scale parameters respectively for a lognorm distribution.

Upvotes: 1

Joe Kington
Joe Kington

Reputation: 284642

For whatever it's worth, all lognstat in matlab does is this:

import numpy as np

def lognstat(mu, sigma):
    """Calculate the mean of and variance of the lognormal distribution given
    the mean (`mu`) and standard deviation (`sigma`), of the associated normal 
    distribution."""
    m = np.exp(mu + sigma**2 / 2.0)
    v = np.exp(2 * mu + sigma**2) * (np.exp(sigma**2) - 1)
    return m, v

There may be a function for it in scipy.stats or scikits-statsmodels, but I'm not aware of it offhand. Either way, it's just a couple of lines of code.

Upvotes: 6

Anthony Kong
Anthony Kong

Reputation: 40664

(I do not have rpy install on my notebook at the moment, so I cannot try this out)

You can consider to install Rpy, which is a python interface to R.

Then you may be able to use this R function http://rss.acs.unt.edu/Rdoc/library/stats/html/Lognormal.html

Upvotes: 0

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