[R] Density Estimation

[Vito Ricci]

Dear Brian,

I can suggest you to use density() function to get an
estimate of the pdf you're finding (I believe it's
unknown). Then you can plot the point you got by
density() using plot(). In this way you have a graphic
representation of you unknown pdf. According its shape
and helping by the graphic you could try to understand
what kind of pdf it would be (normal, gamma, weibul,
etc.)
After you can estimate parameters of pdf using your
data with LS or ML methods.
Then you can calculate the goodness of fit for each
model of pdf and use the best one.

I hope I get you a little help.

Cordially
Vito Ricci

brian.macnamee at gmail.com  wrote:

Hi there,

Sorry if this is a rather loing post. I have a simple
list of single
feature data points from which I would like to
generate a probability
that an unseen point comes from the same distribution.
To do this I am
trying to estimate the probability density of the list
of points and
use this to generate a probability for the new unseen
points. I have
managed to use the R density function to generate the
density estimate
but have not been able to do anything with this - i.e.
generate a
rpobability that a new point comes from the same
distribution. Is
there a function to do this, or am I way off the mark
using the
density function at all?

Thanks in advance,

Brian.

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