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Inverse Cumulative Distribution Function for a Custom PDF.

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Emiliano Rosso
Emiliano Rosso 2020 年 3 月 6 日
コメント済み: Emiliano Rosso 2020 年 3 月 8 日
Hello!
I'm looking for a function similar to norminv in wich you can sample data at the probability values in the vector p according to the normal distribution but I need to make it according to a custom probability distribution instead of the normal, always in the vector p but without the use of the original dataset wich generated the custom PDF.
Or in other words a icdf for a custom PDF function....Thanks!

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Jeff Miller
Jeff Miller 2020 年 3 月 7 日
If you have the custom PDF function (call it custPDF), then you can compute the custom CDF function something like this:
function p = custCDF(x)
p = integral(@custPDF,LowerBound,x); % Modify AbsTol and RelTol to suit your needs
end
where LowerBound is some minimal value for your custom distribution.
Then you should be able to get the inverse CDF with this:
function x = custiCDF(p)
x = fzero( @(x) custCDF(x)-p, [LowerBound,UpperBound] );
end
where UpperBound is a maximal value.
It might be pretty slow, but it should work.
  3 件のコメント
Emiliano Rosso
Emiliano Rosso 2020 年 3 月 8 日
No,I misunderstood,I must call custiCDF for each one,
Thanks!

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