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Finding an approximate CDF/PDF from a large data set

  1. Aug 5, 2011 #1
    I am trying to reproduce the results of a colleague and I am having difficulty understanding how to find a PDF of a data set. The calculations were preformed on a chemical system and the energy for a 1000 random orientation of the molecule was calculated. Am I right in thinking that if I plot the CDF of the data set and fit the plotted CDF to a function, f(x), that df(x)/dx = PDF of the data set?

    Thank you in advance for the help.
     
  2. jcsd
  3. Aug 5, 2011 #2

    mathman

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    If I understand you correctly, you have 1000 data points, which can be used to approximate a CDF. A straightforward plot will give you a graph consisting of a series of straight line segments. To get a decent PDF you will need to smooth it out.
     
  4. Aug 5, 2011 #3
    I know I should be able to do a least-squares regression on my data to smooth it out once I get it plotted, but I feel like I my logic for plotting the CDF and finding the analytical CDF is flawed. Right now I am plotting P(x[itex]\leq[/itex]a) = CDF = (number of data points with the value of "a" or less)/1000 and the only function that seems to fit is a high order polynomial (e.g. order(f(x))[itex]\geq[/itex]20). A CDF of this type will never have the property such that [itex]\int[/itex] f'(x) dx ,x=-inf..inf = 1.
     
  5. Aug 5, 2011 #4

    Stephen Tashi

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    If you fit a function f(x) to a histogram of data whose range is [itex] A \leq x \leq B [/itex] then you must decide whether you believe the curve fit applies to values of x outside the range [A,B]. If you feel values outside that range are impossible then you define the f(x) to be zero for [itex] x < A [/itex] and f(x) = 0 for [itex] x > B [/itex], so the integral of f(x) "from minus infinity to infinity" is only the integral of f(x) "from A to B".

    Simiarly, if you fit the function F(x) to a cumulative histogram of the data, you define F(x) = 0 for [itex] x < A [/itex] and F(x) = 1 for [itex] x > B [/itex]. You must use a curve fitting method that produces an F(x) that is a non-decrreasing function and it must never exceed 1.

    Unless you are using a curve fit that passes a curve f(x) exactly through each point on the histogram, you will still have to "normalize" the function f(x) in order to have a PDF. If you decide the possible data values are in the range from A to B then divide f(x) by [itex] \int_A^B f(x) dx [/itex] to get a PDF.
     
  6. Aug 10, 2011 #5
    Alright, thanks for the help. I think I got it.
     
  7. Aug 10, 2011 #6
    I might be wrong but you need to do a Chi-squared test.First do a CDF to figure approximately what distro you have.You might have a common distro normal/exponential in which case there is no point fitting a function and creating a distro of your own.You can check wiki on how the CDFs of these distros look like.

    In case the CDF looks like a known distro,find the average/variance and get the PDF according to your parameters.Then you do a chi-squared test with a confidence interval to verify it.

    Again,I could be wrong.
     
  8. Aug 10, 2011 #7
    If none of the standard distributions fit your data then another option is kernel density estimation.
     
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