For questions about distributions built-in in Mathematica, and functions that operate on them. Also includes questions about defining your own distributions.

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4
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1answer
448 views

Using DistributionFitTest on custom distributions in Mathematica 8

I originally posted this question on Stack Overflow, but I didn't get any answers, and I'm hoping to have better luck here. I'm trying to compute the goodness-of-fit of a bi-modal Gaussian ...
4
votes
1answer
206 views

Heuristic Method to create low discrepancy sequences

Introduction I am now trying to program an algorithm to achieve an uniform distribution of points within a space of dimension n. I started working in 2D. The idea is to achieve an uniform ...
4
votes
1answer
65 views

How to get probabilities for multinomial & hypergeometric distribution ranges more quickly?

I often need to calculate the probability of a result from a multinomial distribution falling within some range, e.g., the maximum of the categories having an upper bound, or a lower bound for the ...
4
votes
2answers
166 views

Finding the characteristic function of a TransformedDistribution[]

I am trying to find the characteristic function of a sum of "named" distributions, though I am interested in how to use Mathematica to find the characteristic function of $$f(X_1,\ldots, X_n),$$ where ...
4
votes
2answers
165 views

NMaximize the Likelihood

I am still pretty new to Mathematica, but have to solve a quite complex problem. The function ...
3
votes
3answers
271 views

TransformedDistribution doesn't work

I'm trying to obtain a sum distribution of two discrete random variables. The function TransformedDistribution doesn't work for me in such case: ...
3
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2answers
371 views

Multiple histograms grouped in a chart

I have this problem: I have three distributions and the relative histograms. But I would like to create an histogram in which the three columns of each single histogram for the same bin are put ...
3
votes
3answers
340 views

Colorize a 3D distribution of points according to density

Suppose we have some random 3D distribution of points. I'll use the spherical ball defined below as an example and a starting point for the discussion here : ...
3
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2answers
337 views

Colors associated to parts of a 3D distribution of points

Suppose we have a long list of random points (cartesian coordinates) in 3D space. coords := ...; Until now, I was associating colors in a radial way, from the ...
3
votes
2answers
73 views

Efficient Sampling of A (Countable) Discrete Distribution

I have a sequence of positive terms $(a_n)$, for which $\sum_{n=1}^\infty a_n = A <\infty$, and wish to take a psuedo-random sample from the discrete probability distribution \begin{equation} ...
3
votes
2answers
382 views

How to extract the probability density function from SmoothHistogram? [duplicate]

I have some data.I plot the histogram with SmoothHistogram in Mathematica. If the y-axis of the histogram is my p(x) function, I want to plot f(x)=(1/n)ln(p(x)) ...
3
votes
1answer
522 views

Categorical Distribution

Suppose I want to do calculations with a random variable $X$ that has a simple categorical distribution (a.k.a generalised Bernoulli distribution or discrete distribution). I was expecting to be able ...
3
votes
2answers
335 views

Generating a range of numbers according to some rules

I'm pretty new to Mathematica, and I'm mainly a programmer so I don't have a lot of knowledge about maths. I want to generate a set of UNIQUE incremental numbers (series) according to the following ...
3
votes
1answer
135 views

How to measure cross-covariance in mathematica

In matlab cross-covariance is given by [c,lags] = xcov(x,maxlags,'coeff'); How can I measure in Mathematica?
3
votes
1answer
163 views

Determining the dimension of a probability distribution

Functions like Mean and RandomVariate clearly infer the dimension of the distribution passed to them. One can also usually ...
3
votes
2answers
158 views

How to change type order in PearsonDistribution?

I need to estimate a Pearson distribution from a batch of tables tab: ...
3
votes
1answer
90 views

What ProcessEstimator Options can I use with FractionalBrownianMotionProcess

I can generate an fBm process: ...
3
votes
1answer
496 views

Radial Random Walk

I'm trying to generate a spherical distribution of radial random walk points in 3D space. The following code works, but the random walk lines aren't radial. Why ? Where is my mistake ? ...
3
votes
1answer
60 views

RandomVariate does not evaluate a Hyperbolic Distribution

Any Idea why I can't get a result from this expression: ...
3
votes
1answer
226 views

DistributionFitTest with WeightedData?

My problem is related to statistical testing with weighted data. I have a data sample and I assume that a part of the data follows a specific distribution (Pareto). So I fit my data to a distribution ...
2
votes
3answers
365 views

Covariance of transformed random variables

I am trying to solve the following: $\begin{align*} &X \sim N(1,1)\\ &\mathrm{cov}(X, X^3) = \text{?} \end{align*}$ where $\mathrm{cov}$ is the covariance. How would you do this in ...
2
votes
3answers
262 views

How to Compute Aggregate Best and Worst Cases for a Large Number of Estimates?

I need to aggregate multiple estimations, but I haven't been able to find a built-in function in Mathematica that aggregates multiple probablity estimations (I am specially interested in estimations ...
2
votes
1answer
72 views

P-Values are inconsistent when using DistributionFitTest repeatedly

I am attempting to become more familiar with the DistributionFitTest, specifically the distributions it yields and their fittedness. What I have found is that when I generate random data, fit it, and ...
2
votes
1answer
102 views

Mathematica equivalent of `qnorm` or `invNorm`

In R and TI-89 you can do qnorm(prob, mu, sigma) or invNorm(prob, mu, sigma) to get a value of ...
2
votes
2answers
72 views

RandomVariate from Dirichlet into Multinomial Not Summing to 1

I have a draw from a Dirichlet distribution that I would like to use as input into a MultinomialDistribution. For instance: ...
2
votes
2answers
110 views

Interpretation of CopulaDistribution [closed]

I was just wondering, when I call the CopulaDistribution function in Mathematica, am I calling its cumulative function or its density function? I have looked up ...
2
votes
1answer
110 views

Is random number generation based on Farlie-Gumbel-Morgenstern copula wrong?

I am constructing a bivariate Farlie-Gumbel-Morgenstern distributions with Normal and exponential marginal as follows: ...
2
votes
1answer
124 views

Contourplot of Binomial Distribution

Ok, so before anything else, I have no idea what I'm doing. Not in mathematica and maybe not in the maths either. My question is basically if I can contour-plot ...
2
votes
1answer
145 views

Expectation of GeometricBrownianMotionProcess

I am trying to compute $$\mathbb E\left[\max\left(\frac{S_{1/2}+S_1}{2}-K,0\right)\right]$$ where $K=100$ and $S_t$ is a geometric brownian motion (with $S_0=100$, drift $r=0.05$ and volatility ...
2
votes
1answer
153 views

Defining and evaluating new continuous distributions based on Mathematica's distributions

A number of functions operate with Mathematica's set of distributions e.g. Through[{Mean, StandardDeviation, Variance}[UniformDistribution[{umin,umax}]]] which ...
2
votes
1answer
316 views

How to reject or repulse some points in a 3D cloud of particles?

I'm having an issue with a 3D distribution of points. The distribution is really nicely looking in Mathematica, but it is used in an OpenGL astronomy program (Celestia) to generate a nebula, with ...
2
votes
1answer
155 views

Confusion with SplineFit (Angle calculation)

This question is continuation to this other one I am creating polymers (where each monomer is of equal length) using this method: ...
2
votes
1answer
41 views

Is this behavior of DistributionFitTest together with StableDistribution a bug?

I have been using DistributionFitTest to fit the following data: ...
2
votes
1answer
89 views

Time inhomogeneous Markov Chain in Mathematica

I would like to create a discrete 2-state Markov process, where the switching probabilities in the transition matrix vary with time. I can currently do the following, which creates a process with ...
2
votes
1answer
166 views

Compute symbolic Expectation of a summation

I am required to computed following Expectations : $E[\displaystyle\sum\limits_{i=1}^N \frac{X_{i}}{N}] = \bar{x}_{0}$ & $E[\displaystyle(\sum\limits_{i=1}^N \frac{X_{i}}{N})^2] = ...
2
votes
1answer
110 views

How to get a more compact form of this probability calculation?

Inspired by the probability calculation here, I am trying to solve a little general one: $$\mathbb{P} (\sum_{i=1}^{m-1} A_i + \sum_{i=1}^{m} S_i < L < \sum_{i=1}^{m} A_i + \sum_{i=1}^{m+1} ...
2
votes
1answer
191 views

on Kolmogorov-Smirnov test

I found a problem to calculate Kolmogorov-Smirnov test statistic or p-value the data is ...
2
votes
1answer
117 views

Structure of KernelMixtureDistribution and SmoothKernelDistribution

I would like to know more about the structure behind the KernelMixtureDistribution and SmoothKernelDistribution in Mathematica. ...
2
votes
1answer
167 views

Choosing The Best Fitted Probability Distribution Model

The following Example 20 Obs and i used Goodness of fit test with Exponential distribution, another time with Weibull distribution and third time with Pareto distribution .All of them are significant ...
2
votes
1answer
182 views

FindDistributionParameters of a sum of a mixture distribution

I have this Mixture Distribution of two Normal Distributions: ...
2
votes
1answer
63 views

Performance of a bootstrap - time of computation not linear with number of iterations

I'm doing a bootstrap based on this thread with the following code (file.txt here): ...
2
votes
2answers
67 views

FindDistributionParameters gives an error for a mixture of user defined sinh-arcsinh distributions

I have some data (1593 values). I first binned it using the Knuth rule and fitted a function that is a linear combination of two sinh-arcsinh functions. I then ...
2
votes
1answer
69 views

Joint Distribution with a Constant

I would like to simulate from a joint distribution multiplied by a constant. e.g. 3*NormalDistribution[0,1]*NormalDistribution[1,1] I tried using something like ProductDistribution but that doesn't ...
2
votes
1answer
81 views

TransformedDistribution using n iid random variables

How do I create a TransformedDistribution that uses $n$ independent identically distributed (i.i.d.) random variables? For example, I can derive a chi-squared ...
2
votes
1answer
69 views

Statistical Analyzis of Observed Data (Queuing Process)

Basically I have a process that belongs to a certain state at any point of time. However, the time intervals are not fixed (in fact they are exponentially distributed). Essentially, the data points ...
2
votes
2answers
89 views

Transforming a CopulaDistribution only works with the Product Copula

What I want to do: 1) Define a joint distribution function using CopulaDistribution 2) then transform it with TransformedDistribution 3) to get the new Culmulative Distribution Function (CDF). The ...
2
votes
2answers
52 views

Cannot use the MultinormalDistribution code

I am trying to use the MultinormalDistribution code with the Quantile function to get the 0.01 quartile of the multinormal ...
2
votes
1answer
58 views

Why is RandomVariate of special probability distribution doesn't working in all cases

I would like to generate a random variates in Mathematica 9 with this distribution: ...
2
votes
1answer
107 views

Determining sample size with no replacement for a given confidence and reliability when there are x failures observed during sampling?

I am trying to follow the procedure of a Sandia Labs report found here to determine the required sample size, for various population sizes, with no replacement for a given confidence and reliability. ...
2
votes
1answer
198 views

Judging the quality of fitting an EventData object to a distribution using LogRankTest

I have $389$ data points defined in an EventData object and want to judge the quality of fit of this data to a fitted $3$-parameter Weibull distribution. This ...