ProbDistTWLS
[this page | pdf]
Function Description
Returns the tail weighted least squares estimation vector
for a given dataset for parameters of a probability distribution given by DistributionName
and with the order of parameter values matching the parameter names listed by MnProbDistParamNames).
The algorithm used starts from values for each parameter in
line with its value in OpeningParameterChoices and searches for the
(possibly just ‘nearest’) parameter selection that maximises the weighted (log)
likelihood function.
An explanation of the algorithm used is given in TailWeightedParameterEstimation.pdf.
Probability distributions currently recognised by the
website may be listed using MnRecognisedProbDists.
NAVIGATION LINKS
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Output type / Parameter details
Output type: Double()
Parameter Name | Variable Type | Description |
DistributionName | String | Name of distribution |
InputValues | Double() | Array containing values from which TWLS is derived |
Weights | Double() | Weights applied to individual elements of InputValues |
QuantilePoints | Double() | Quantile points applicable to individual input values |
OpeningParameterChoices | Double() | Initial (approximate) variable choices from which search for TWLS starts |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Probability distribution analysis functions
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Computation units used
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