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Truncated Lognormal Estimation 1.0

  Date Added: August 20, 2013  |  Visits: 224

Truncated Lognormal Estimation

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[MU, SIGMA, D] = TRUNCLOGNORMEST(DATA) returns the estimated parameters of the lognormal distribution, with unknown left truncation, using the sample data of percent of observations greater than observed quantities.DATA is assumed to be nx2 where the first column is a set of known values, and the second column is the fraction of observations greater than those valuesSolves for the parameters [mu, sigma, d] such that P(X>x|X>d) for lognormal distribution with parameters (mu, sigma) that fits the data with minimal residual error.Example:data=[ 7.9500 0.8835; 8.1273 0.8627; 8.2057 0.8536; 23.0609 0.1068; 25.7043 0.0759];TruncLogNormEst(data) gives [2.2077 0.6325 6.9900]Actual parameters were [2.1972 0.6366 7.0000]In this example, observations less than 7 could not be recorded - due to instrument limitations or other reasons. Of those observations that were recorded, 10.68% were greater than 23.0609. Without truncation the observations would follow a lognormal distribution with parameters [2.2077,0.6325]. Using the sample data the estimates were calculated of those unknown parameters.

Requirements: No special requirements
Platforms: Matlab
Keyword: 06366 70000in 1068 Were Actual Greater Minimal Residual Parameters Recorded Sample Data Truncation Trunclognormestdata Unknown Left Values Valuessolves Were 21972 06366 Where The First
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License: Freeware Size: 10 KB
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