[R] Fitting distributions

Prof Brian D Ripley ripley at stats.ox.ac.uk
Wed Sep 5 07:57:59 CEST 2001

On Wed, 5 Sep 2001, Cowpertwait, Paul wrote:

> Are there any functions in R for fitting distributions?  In particular, I
> would like to fit the weibull and extreme-value distributions when:
> i)  the data are given and the maximum likelihood estimates are required;

See survreg in package survival. It's a trivial case (no regressors, no

survreg(y ~ 1, dist="weibull")

survreg(log(y) ~ 1, dist="Weibull")

since log-Weibulls are Gumbel.

Direct computation of the likelihood is easy: see the recent postings here,
or V&R's exercises (e.g 8.10).

> ii) the sample moments are available but the complete data record is not
> (so moment estimates are required).

I think you will need to program that yourself.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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