NormalFactory¶

(Source code, png)

class NormalFactory(*args)¶

Normal factory.

Parameters:

robustbool, optional

Flag to select robust estimators of the parameters.

By default, robust is False.

See also

DistributionFactory, Normal, NormalCopulaFactory

Notes

The parameters are estimated by likelihood maximization if robust=False:

$\begin{align*} \displaystyle\Hat{\vect{\mu}}_n^{\strut} = \bar{\vect{x}}_n\\ \displaystyle\Hat{\mathrm{Cov}}_n = \frac{1}{n-1}\sum_{i=1}^n\left(\vect{X}_i-\Hat{\vect{\mu}}_n\right)\left(\vect{X}_i-\Hat{\vect{\mu}}_n\right)^t \end{align*}$

If robust=True, the estimation is done using the empirical median $q_{n, 0.5}$ as an estimate of $\mu$ , the empirical inter-quartile $frac{q_{n, 0.75}-q_{n, 0.25}}{a_{0.75}-a_{0.25}}$ as an estimate of the standard deviation, where $a_{0.75}$ and $a_{0.25}$ are the 75% and 25% quantiles of the standard normal distribution, and the correlation matrix $R_n$ is estimated as the shape matrix of the underlying NormalCopula using NormalCopulaFactory.

Examples

In the following example, the parameters of a Normal are estimated from a sample.

>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)
>>> size = 10000
>>> distribution = ot.Normal(1.0, 2.0)
>>> sample = distribution.getSample(size)
>>> factory = ot.NormalFactory()
>>> estimated = factory.build(sample)

Methods

`build`(*args)	Build the distribution.
`buildAsNormal`(*args)	Estimate the distribution as native distribution.
`buildEstimator`(sample)	Build the distribution and the parameter distribution.
`getBootstrapSize`()	Accessor to the bootstrap size.
`getClassName`()	Accessor to the object's name.
`getName`()	Accessor to the object's name.
`hasName`()	Test if the object is named.
`setBootstrapSize`(bootstrapSize)	Accessor to the bootstrap size.
`setName`(name)	Accessor to the object's name.

__init__(*args)¶

build(*args)¶

Build the distribution.

Available usages:

build()

build(sample)

build(param)

Parameters:

sample2-d sequence of float: Data.
paramsequence of float: The parameters of the distribution.

Returns:

distDistribution

The estimated distribution.

In the first usage, the default native distribution is built.

buildAsNormal(*args)¶

Estimate the distribution as native distribution.

Available usages:

buildAsNormal()

buildAsNormal(sample)

buildAsNormal(param)

Parameters:

sample2-d sequence of float: Sample from which the distribution parameters are estimated.
paramsequence of float: The parameters of the Normal.

Returns:

distributionNormal

The estimated distribution as a Normal.

In the first usage, the default Normal distribution is built.

buildEstimator(sample)¶

Build the distribution and the parameter distribution.

Parameters:

sample2-d sequence of float: Data.
parametersDistributionParameters: Optional, the parametrization.

Returns:

resDistDistributionFactoryResult: The results.

Notes

According to the way the native parameters of the distribution are estimated, the parameters distribution differs:

Moments method: the asymptotic parameters distribution is normal and estimated by Bootstrap on the initial data;

Maximum likelihood method with a regular model: the asymptotic parameters distribution is normal and its covariance matrix is the inverse Fisher information matrix;

Other methods: the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting (see KernelSmoothing).

If another set of parameters is specified, the native parameters distribution is first estimated and the new distribution is determined from it:

if the native parameters distribution is normal and the transformation regular at the estimated parameters values: the asymptotic parameters distribution is normal and its covariance matrix determined from the inverse Fisher information matrix of the native parameters and the transformation;

in the other cases, the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting.

getBootstrapSize()¶

Accessor to the bootstrap size.

Returns: