Estimate an expression for a Probability Density Function
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I have a 5 parameter distribution, I have estimates of all five parameters. I also have the characteristic function, moment generating function and the cumulant function for the distribution.
What I dont have is an expression for the probability density function of the distribution. (I wish to plot the prob density function)
Knowing what Ive I know, can matlab estimate the probability density function?
Matt Tearle on 23 Feb 2011
By the "cumulant" function, do you mean the cumulative probability density? Because, in that case, the PDF is just the derivative of the CDF. If you can't get the derivative analytically (or it's just too messy to bother with), use diff to approximate it
x = linespace(-20:0.1:20);
mycdf = ...(x)...
mypdf = diff(mycdf)./diff(x);