NormalFactory

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../../_images/openturns-NormalFactory-1.png
class NormalFactory(*args)

Normal factory.

Available constructors:

NormalFactory(robust=False)

Parameters
robustbool, optional

Flag to select robust estimators of the parameters

See also

DistributionFactory, Normal, NormalCopulaFactory

Notes

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

\begin{eqnarray*} \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{eqnarray*}

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.

getId()

Accessor to the object's id.

getName()

Accessor to the object's name.

getShadowedId()

Accessor to the object's shadowed id.

getVisibility()

Accessor to the object's visibility state.

hasName()

Test if the object is named.

hasVisibleName()

Test if the object has a distinguishable name.

setBootstrapSize(bootstrapSize)

Accessor to the bootstrap size.

setName(name)

Accessor to the object's name.

setShadowedId(id)

Accessor to the object's shadowed id.

setVisibility(visible)

Accessor to the object's visibility state.
__init__(*args)
build(*args)

Build the distribution.

Available usages:

build(sample)

build(param)

Parameters
sample2-d sequence of float

Sample from which the distribution parameters are estimated.

paramCollection of PointWithDescription

A vector of parameters of the distribution.

Returns
distDistribution

The built distribution.

buildAsNormal(*args)

Estimate the distribution as native distribution.

Parameters
sampleSample

Data

Returns
distributionNormal

The estimated distribution

buildEstimator(sample)

Build the distribution and the parameter distribution.

Parameters
sample2-d sequence of float

Sample from which the distribution parameters are estimated.

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
sizeinteger

Size of the bootstrap.

getClassName()

Accessor to the object’s name.

Returns
class_namestr

The object class name (object.__class__.__name__).

getId()

Accessor to the object’s id.

Returns
idint

Internal unique identifier.

getName()

Accessor to the object’s name.

Returns
namestr

The name of the object.

getShadowedId()

Accessor to the object’s shadowed id.

Returns
idint

Internal unique identifier.

getVisibility()

Accessor to the object’s visibility state.

Returns
visiblebool

Visibility flag.

hasName()

Test if the object is named.

Returns
hasNamebool

True if the name is not empty.

hasVisibleName()

Test if the object has a distinguishable name.

Returns
hasVisibleNamebool

True if the name is not empty and not the default one.

setBootstrapSize(bootstrapSize)

Accessor to the bootstrap size.

Parameters
sizeinteger

Size of the bootstrap.

setName(name)

Accessor to the object’s name.

Parameters
namestr

The name of the object.

setShadowedId(id)

Accessor to the object’s shadowed id.

Parameters
idint

Internal unique identifier.

setVisibility(visible)

Accessor to the object’s visibility state.

Parameters
visiblebool

Visibility flag.