CODEWITHSUNDEEP
databasematlabstatisticsdistribution
lzxh3
lzxh3

Reputation: 43

fit a skewed t-distribution or normal distribution in Matlab

I have a dataset that I know for sure that has some sort of skewness (and potentially excess kurtosis). I would like to fit this dataset to some sort of distribution, and I thought the most simplistic is to have a skewed student's t-distribution or skewed normal distribution. What sort of distribution in Matlab can I fit the data to?

Thanks! L.

Upvotes: 1

Views: 5020

Answers (1)

horchler
horchler

Reputation: 18484

There may be no pearspdf function in Matlab, because the seven distribution types of the Pearson distribution mostly correspond to or are based on extant functions for other distributions:

The summary above simplifies a lot of course and it would be useful to have one function that calculates your PDF according to the system, like pearsrnd does for random variate generation. Luckily someone has already done that and posted it on the MathWorks File Exchange: pearspdf.

You can also use the second argument of the pearsrnd function, which returns the type of the distribution in the Pearson system (see this page for examples). If, for example, it suggests that your data is Type III, you could attempt to fit it directly using gamfit to estimate the parameter values. gamfit, and other similarly-names functions, are based on robust maximum-likelihood estimation (MLE).

Upvotes: 1

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