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Thread Subject:
Doing Goodness of Fit test in dfittool

Subject: Doing Goodness of Fit test in dfittool

From: Alan Leung

Date: 28 Jan, 2008 19:41:02

Message: 1 of 4

Hi,

I am using dfittool to evaluate the best distribution that
applies to my data. I am wondering if dfittol provides
goodness of fit test so that I can make the decisions on
choosing the best fitting of distribution.

Thanks,

Alan

Subject: Doing Goodness of Fit test in dfittool

From: roberson@ibd.nrc-cnrc.gc.ca (Walter Roberson)

Date: 28 Jan, 2008 19:46:24

Message: 2 of 4

In article <fnlb4d$kpo$1@fred.mathworks.com>,
Alan Leung <twaleung@engmail.uwaterloo.ca> wrote:

>I am using dfittool to evaluate the best distribution that
>applies to my data. I am wondering if dfittol provides
>goodness of fit test so that I can make the decisions on
>choosing the best fitting of distribution.

Perhaps the confidence bounds functions?

http://www.mathworks.com/access/helpdesk/help/toolbox/stats/bqucg6n.html#bquchd2-61
--
'Roberson' is my family name; my given name is 'Walter'.

Subject: Doing Goodness of Fit test in dfittool

From: thiago silva

Date: 16 Oct, 2008 14:15:05

Message: 3 of 4

"Alan Leung" <twaleung@engmail.uwaterloo.ca> wrote in message <fnlb4d$kpo$1@fred.mathworks.com>...
> Hi,
>
> I am using dfittool to evaluate the best distribution that
> applies to my data. I am wondering if dfittol provides
> goodness of fit test so that I can make the decisions on
> choosing the best fitting of distribution.
>
> Thanks,
>
> Alan


Hi Allan,

Did you get your answer? I am facing the same problem...


Thiago.

Subject: Doing Goodness of Fit test in dfittool

From: Ting Su

Date: 16 Oct, 2008 15:14:52

Message: 4 of 4

There are some simple methods that people use, but the real answer is
that there is no simple way to know what different kinds of
discrepancies matter in any given situation, and one distribution may
fit the data well in the "center", while another may fit it well in the
"tails".

If two models are "nested", i.e., one is a special case of the other,
then you can do a hypothesis test, using the difference in the
log-likelihood, of the the null hypothesis that the simpler model is
correct. If two models are not nested, people often use the AIC or BIC
to compare models. You can also compare the Kolmogorov-Smironov or
Anderson-Darling statistics of data against different models -- though
it's difficult to use these as an absolute measure of g.o.f. when you've
estimated the distributions' parameters, they are useful as a relative
measure.

Regardless of the measure, goodness-of-fit does not imply a "good" model
specification. This is a common misconception. Though measures like AIC
and BIC try to balance overfitting with penalties for extra parameters,
they really say nothing about how well a model describes the
data-generating process (DGP). Most families of distributions have their
origins in describing a particular type of DGP. Identifying a suitable
family to fit to a particular data set is often the most difficult part
of the process. It involves a combination of empirical evidence,
gathered from distribution plots (such as looking at CDF of PDF plot)
and distribution tests, but also any a priori knowledge that may be
available (or can be reasonably assumed) about the DGP. In short,
goodness of fit can't substitute for knowledge of the data and knowledge
of what the various distribution families are meant to model.


-Ting Su
Mathworks

thiago silva wrote:
> "Alan Leung" <twaleung@engmail.uwaterloo.ca> wrote in message <fnlb4d$kpo$1@fred.mathworks.com>...
>> Hi,
>>
>> I am using dfittool to evaluate the best distribution that
>> applies to my data. I am wondering if dfittol provides
>> goodness of fit test so that I can make the decisions on
>> choosing the best fitting of distribution.
>>
>> Thanks,
>>
>> Alan
>
>
> Hi Allan,
>
> Did you get your answer? I am facing the same problem...
>
>
> Thiago.

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