Kernel Density estimation with chosen bandwidth, then normalize the density function (cdf) so that integral of cdf from min to max equal to 1 ; then take the first and second derivative of the cdf

15 views (last 30 days)
I've tried using kde(data,n,MIN,MAX) and [f,xi] = ksdensity(x) over my data points.
I haven't figure out how to retrieve the cdf (density function).
I've tried using linear fit on the density data points (I got from using [density,cdf]=kde(y,1000,min(y),max(y))
but wonder if there is another method to approach finding the kernel density cdf assuming normal distribution with chosen bandwidth (standard deviation) 0.5

Answers (1)

Tom Lane
Tom Lane on 14 Dec 2017
You seem to want to do a number of things including integrating and specifying a bandwidth. Maybe this will get you started.
Here's an example looking at a kernel density estimate from a gamma random variable and comparing it with the distribution used to generate the data.
>> x = gamrnd(2,3,1000,1);
>> X = linspace(0,40,1000);
>> f = ksdensity(x,X);
>> plot(X,gampdf(X,2,3),'r:', X,f,'b-')
Usually "cdf" is used to describe the cumulative distribution function rather than the density (pdf). Here's how to get that.
>> F = ksdensity(x,X,'Function','cdf');
>> plot(X,gamcdf(X,2,3),'r:', X,F,'b-')
Tam Ho
Tam Ho on 29 Dec 2017
Edited: Tam Ho on 29 Dec 2017
Thanks a lot!
I have the following code which aims to solve for theta - roots of first derivative of the pdf
syms theta %create symbolic variable theta
assume(theta,'real') %theta is real
pf = poly2sym(fit.coeff,theta); %calling our fitted polynomials
g = diff(pf,theta);
theta = double(g0);
What I did was plot the pdf from kernel estimation, using Basic Fitting to obtain the function, then solve for theta.
However, Basic Fitting doesn't fit very well with the pdf. How can I obtain pdf and take derivative without producing too much residuals?
Additionally, theta has to follow three conditions: -smaller than the highest pdf value -pdf evaluation of theta must be smaller than 0.8 times of that of the highest pdf value -integral from min x value to theta of pdf must be larger than 0.05
θ < μ, f(θ)<0.8·f(μ) and ∫ f (x)dx > 0.05 from min x to θ.
Is there a way to incorporate loop and boolean to automate solving for theta.

Sign in to comment.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!