Finding fit parameters for x,y data of a lognormal cdf
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Hi,
I have x, y vector data where x = some independent variable of interest and y = cumulative probability. I know the resulting curve represents a lognormal cdf but I'm having trouble finding a way to find the location and scale parameters that correspond to it.
My initial thought was to simply take the cdf, convert it to a pdf by taking p(ii) = y(ii+1) - y(ii), and then use the frequency option of lognfit to find the parameters. I do not get the correct result from this though and was wondering if anyone else had any ideas. Example code is below. Thanks!
if true
% code
end
X = 1:200;
Y = logncdf(X,4.5,0.1); %4.5 and 0.1 are just for illustration, in reality I don't know these parameters.
for ii = 1:length(X)-1
P(ii) = Y(ii+1)-Y(ii);
end
P(200) = 1 - Y(end);
fit = lognfit(X,[],[],P)
The location parameter I get from this example is correct, but the scale parameter is 0.
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Accepted Answer
David
on 26 Mar 2015
4 Comments
Star Strider
on 27 Mar 2015
You already accepted your own answer, so I’ll delete mine.
It isn’t as difficult a problem as you’re making it. In fact, you’re using the wrong approach. You need to understand the lognormal distribution, then the solution is straightforward:
D = load('David SampleData.mat');
x = D.X;
p = D.P;
prms = @(b,x) logncdf(x,b(1),b(2));
init_prms = interp1(p, x, [0.5 0.025]);
B0 = [log(init_prms(1)) -diff(init_prms)/init_prms(1)];
B = nlinfit(x,p,prms,B0);
lncdfit = prms(B,x);
figure(1)
plot(x, p, 'bp')
hold on
plot(x, lncdfit, '-r')
hold off
grid
produces:
Alsc
on 10 Oct 2019
Well, I guess I haven't understood this well enough when I have to ask this question, but,
where do I get the goodness of fit and fit parameters from this?
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