CODEWITHSUNDEEP
pythonscipydistributionpearson
leventov
leventov

Reputation: 15283

How do scipy.stats.<distribution>.fit methods work?

How do distribution fitness-tests, ex. scipy.stats.norm.fit work? Investigation of scipy source code led me to rv_continuous.fit method, but it looks like beating the air. What algorithms are used, Pearson's chi-squared test or some other ones?

UPD As I understood optimization algorithm inside fit finds maximum likelihood estimation. But for example for scipy.stats.norm, maximum likelihood is well-known - it is sample mean for normal mean and square root from sample variance - for sigma. Why it isn't calculated direclty?

Upvotes: 2

Views: 2019

Answers (1)

hd1
hd1

Reputation: 34667

All rv_continuous.fit seems to be doing is act as a wrapper method for various functions, beginning with fmin, in the optimize class, using the downhill simplex algorithm.

Upvotes: 2

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