pearspdf

Pearson system probability distributions

Description

% pearspdf
% [p,type,coefs] = pearspdf(X,mu,sigma,skew,kurt)
%
% Returns the probability distribution denisty of the pearsons distribution
% with mean `mu`, standard deviation `sigma`, skewness `skew` and
% kurtosis `kurt`, evaluated at the values in X.
%
% Some combinations of moments are not valid for any random variable, and in
% particular, the kurtosis must be greater than the square of the skewness
% plus 1. The kurtosis of the normal distribution is defined to be 3.
%
% The seven distribution types in the Pearson system correspond to the
% following distributions:
%
% Type 0: Normal distribution
% Type 1: Four-parameter beta
% Type 2: Symmetric four-parameter beta
% Type 3: Three-parameter gamma
% Type 4: Not related to any standard distribution. Density proportional
% to (1+((x-a)/b)^2)^(-c) * exp(-d*arctan((x-a)/b)).
% Type 5: Inverse gamma location-scale
% Type 6: F location-scale
% Type 7: Student's t location-scale
%
% Examples
%
% See also
% pearspdf pearsrnd mean std skewness kurtosis
%

It's a modification of the pearsrnd function

• Required Products: Statistics Toolbox
• MATLAB release: MATLAB 7.9 (2009b)

[John Peterson]

Thanks, I've been looking for this. Would it be possible to always have the probability sum to one? Or to create a pearscdf function?

[Oleg Nazarevych]

Help.
Where can i finf pearscdf.m, pearsinv.m files for Pearson Distribution ?
Mail me - [e-mail]

Thanx

[Pierce]

Hey,
I'm not sure where you can find pearsinv
this file is just a modifcation to the pearsrnd function.

but for the cdf
1. caculate the distribution using pearspdf
2. use cumsum on the result to obtain cdf
3. normalise by the total sum, to ensure limit is 0 to 1

a = cumsum(pearspdf(-3:.01:3,0,0,0,3))
b = sum(pearspdf(-3:.01:3,0,0,0,3))
cdf = a/b;

[Oleg Nazarevych]

For example
mle(x,'distribution',Pearson)

[Oleg Nazarevych]

toolbox\stats\
can find pdf, cdf and inv-files for all distribution.

We have't its for pears.... ^( Onle pearspdf.m (your local file)

I want have pearcdf.m, pearsinv.m for using mle.m, adding Pearson for Maxumum Likehood estimation (MLE metod).

[Pierce]

you'll have to write them yourself so

[Oleg Nazarevych]

ok. thanx

In string 57: p = NaN(sizeOut,outClass);

if (sigma < 0) || (beta2 <= beta1 + 1)
   p = NaN(sizeOut,outClass);
   type = NaN;
   coefs = NaN(1,3,outClass);
   return
end

Not define - sizeOut
May be have - sizeOut=size(X) ?

But type of Pearson Curve define from parameter Kapa:
1) Kapa=skew^2*(kurt+3)^2/(4*(4*kurt-3*skew^2)*(2*kurt-3*skew^2-6));
or
2) Kapa2= - (skew^2*(K+2)^2)/(16*(K+1));

[Oleg Nazarevych]

From Matlab help:
[r,type,coefs] = pearsrnd(mu,sigma,skew,kurt,m,n) returns the type of the specified distribution within the Pearson system.
(!) Set m and n to 0 to identify the distribution type without generating any random values.

Example
x=x1,x2,....xn;
mu=mean(x);
sigma=std(x);
skew=skewness(x);
kurt=kurtosis(x);
[r,type,coefs] = pearsrnd(mu,sigma,skew,kurt,0,0)

[Oleg Nazarevych]

*** sigma=std(x)^2;

[Oleg Nazarevych]

m = {0,1,0,3};%Norm Distrib
[x,type, coefs] = pearsrnd(m{:},1000,1);
m2 = [mean(x) std(x) skewness(x) kurtosis(x)]
m2 =
-0.0404 1.0045 0.0485 3.1589

Why m <> m2 ?!

[Oleg Nazarevych]

1: m = {mean(x),std(x),skewness(x),kurtosis(x)};
2:[r,type,coefs] = pearsrnd(m{:},10000,1);
3:hold on; [Fxi,Xxi] = ecdf(x);
4:ecdfhist(Fxi,Xxi,k);
5:Yxi=pearspdf(sort(x),m{:}); plot(sort(x),Yxi,'-y','LineWidth',1)

Hist genering by pearsrnd and plot of p(x) in same else scale, why ?
Where my bug ?

Q1: How plot p(x) (by pearspdf()) hold on Norm Hist(pearsrnd()) ?

[Pierce]

m and m2 will be different. pearsrnd generates random numbers that follow the distribution.
if you generate more numbers the values will begin to match much better.
i.e.
m = {0,1,0,3};%Norm Distrib
[x,type, coefs] = pearsrnd(m{:},100000,1);
m2 = [mean(x) std(x) skewness(x) kurtosis(x)]

% better

m = {0,1,0,3};%Norm Distrib
[x,type, coefs] = pearsrnd(m{:},100000000000000,1);
m2 = [mean(x) std(x) skewness(x) kurtosis(x)]
% Won't have a enough memory
% m and m2 should be very close if not the same

% As you you generate more and more numbers, the error
% between m and m2 will become smaller and smaller

% You need to normalise the histogram properly
[Y,X] = hist(pearsrnd(m{:},100000,1),100)
dX = diff(X)
bar(X,Y/(sum(Y)*dX))
hold on;
plot(-6:0.01:6,pearspdf(-6:0.01:6,m{:}),'r')

[Oleg Nazarevych]

Thax for replay.
Same wrong, arrya size dX[99]<>Y[100]

May be this is true:
%dX = diff(X);
%bar(X,(Y/(sum(Y)*dX)));
[Fxi,Xxi] = ecdf(x);
ecdfhist(Fxi,Xxi,100) %Norm hist
hold on;
plot(-6:0.01:6,pearspdf(-6:0.01:6,m{:}),'r');

[Oleg Nazarevych]

Try his code:
%m = {0,1,0,3}; %GOOD
%m = {100,1,1,5}; %GOOD
m = {100,10,1,5}; %BAD. WHY ?! same else scale....
[x,type, coefs] = pearsrnd(m{:},10000,1);
m2 = [mean(x) std(x) skewness(x) kurtosis(x)];
clf;[Y,X] = hist(pearsrnd(m{:},10000,1),100);
%dX = diff(X);
%bar(X,(Y/(sum(Y)*dX)));
[Fxi,Xxi] = ecdf(x);
ecdfhist(Fxi,Xxi,100) %Norm hist
hold on;
xx=min(x):(max(x)-min(x))/1000:max(x);
plot(xx,pearspdf(xx,m{:}),'r');
title(['\bfType (', num2str(type), '), coefs: ',num2str(coefs)])

[Pierce]

% You need to normalise the histogram properly
[Y,X] = hist(pearsrnd(m{:},100000,1),100)
dX = diff(X)
% Forgot to include this line
dX = dX(1)
bar(X,Y/(sum(Y)*dX))
hold on;
plot(-6:0.01:6,pearspdf(-6:0.01:6,m{:}),'r')

[Oleg Nazarevych]

Ok, try your code for m = {0,10,0.5,5};

[Pierce]

add this at line 164

p = p/sigma;

just after
p = pearson4pdf(X,m,nu,a,lambda);

it seems the the pdfs are off by this factor

[Oleg Nazarevych]

for m = {100,10,0.5,3};
not correct

[Oleg Nazarevych]

and not correct for Pearson Type I
coefs = [1.2197 0.30669 -0.07322]

[Oleg Nazarevych]

edit your file:

122: case 1
....
136: p = betapdf(X,m1+1,m2+1)/sigma;
137: p=p/55;

177: case 6
...
187: p = fpdf(X,nu1,nu2)/sigma;
188: p=p/3;

and

195: p = fpdf(X,nu1,nu2)/sigma;
196: p=p/3;

it is not correct, but plot norm PDF hold on Hist (ecdfhist)

[Oleg Nazarevych]

See good code in R
http://cran.r-project.org/web/packages/PearsonDS/

[Daryl]

Question:

Occasionally I get an error Undefined function or variable 'sizeOut'. I can't find this value or variable in the code. Can anyone help?

[Pierce]

Hey guys,
I appreciate all the comments etc.
But i don't have the time to fix these corrections. Its open source so feel free to change it and reuse it yourself.

Carsten Allefeld has made some modifications that fix the normalisation problem. Except in the case of the type 5 distribution.

The sizeOut error has also been fixed.

[khoshi]

Dear all
I need to apply Pearson type 5 distribution
to number data following code includes all types how can i extract just type 5?