Fitting an Inverse Gamma Distribution
On 14/01/2011 11:46 a.m., emorway wrote:
http://r.789695.n4.nabble.com/file/n3216865/Inverse_Gamma.png Hello, I am seeking help in estimating the parameters of an inverse gamma distribution (from the 'actuar' package) using a function like 'fitdistr'. Unfortunately I haven't found such a package using findFn('fit Inverse Gamma') from the 'sos' package and was therefore hoping someone might be aware of such a function?
In my package GeneralizedHyperbolic on R-Forge (not yet in the CRAN version) you will find a fitting routine for the generalized inverse Gaussian distribution which has the inverse Gaussian as a special case. David Scott
Secondly, is there a way to shift the pdf (code below) to the right (rather than the data to the left)? I tried: par(new=T) shift<-1 hist(iniSal_US_forHist,breaks=seq(1.1,21,by=0.625),col="grey",freq=F,xlim=c(0-shift,21-shift),plot=F) curve(dinvgamma(x,scale=11.835,shape=4.4242),from=0,to=20,add=T,col="purple",lwd=2) but this failed in shifting the curve. More broadly, the data plotted in the histogram represents a calibration target for output generated by a finite difference solute transport model. The values that will be generated by the finite difference model would ideally fit the shifted (if that can be figured out) inverse gamma pdf. To the extent that fit is deemed poor, the parameter estimation software associated with the finite difference model will adjust parameters until a better fit is found. I will try to use a goodness of fit test to determine if one set of parameter values in the finite difference model produce output that fits the inv. gamma curve herein better than another. But first I need to establish the curve the finite difference model output should target and would greatly appreciate any leads on how it might be shifted and/or fit more precisely by a fitdistr-like function. library(MASS) library(actuar) iniSal_US_forHist<-c(2.368000,3.532614,3.064330,3.347069,3.066333,4.233636,3.465650,2.858553, 2.946731,2.945417,2.415000,2.873019,5.521000,5.788148,5.314630,5.509672,6.032840,6.009310, 4.110833,6.073182,5.652833,4.425733,6.481852,4.076857,3.289310,4.524000,3.985811,5.399714, 4.490606,6.956729,5.270933,8.099107,5.058250,6.394500,5.644000,5.202459,5.666667,3.152680, 3.220952,2.777381,3.115467,3.642759,3.488333,3.022439,2.610290,2.618571,3.218000,3.417634, 10.327317,7.344270,6.886154,4.015800,3.063103,6.832292,4.600238,2.939000,5.999027,7.894878, 4.411538,2.384762,6.816154,2.782500,2.475333,2.799138,2.739063,2.619917,2.892545,2.468167, 2.577079,2.821875,2.502500,2.969032,2.046023,3.073077,4.408000,3.411774,3.500000,4.283607, 4.284000,4.276714,3.228103,2.639875,3.453194,2.821200,3.838723,1.714253,2.273750,2.611882, 2.321781,2.567500,2.557045,1.288875,2.175211,1.736000,2.250781,7.433366,7.033553,5.474444, 7.132727,8.505937,9.174545,6.554487,7.060286,6.617160,8.210986,4.404045,6.062381,5.149625, 2.972105,5.358889,3.910968,3.715873,1.728966,2.843667,4.413906,3.016346,7.168636,3.839394, 3.930141,7.019882,3.459429,5.050250,3.492714,3.226667,3.987667,2.770227,3.661167,1.553000, 2.867391,2.897193,2.611707,2.577167,2.904697,2.733077,2.507241,11.044865,6.425484,8.567222, 8.552344,7.493396,4.807381,9.697869,9.471333,6.783175,4.563571,8.059649,9.448679,5.803778, 4.769423,4.424634,7.586042,4.451556,3.622373,6.390152,4.424375,4.135806,5.025400,5.410635, 7.012292,2.961071,3.192188,2.989643,3.471429,2.867966,1.980541,3.172344,2.574783,2.958983, 1.708140,3.604853,3.479000,2.845000,2.742603,2.923968,3.620308,2.452500,2.721375,3.166333, 2.742162,2.793000,3.337000,5.192025,5.365875,3.079000,8.415970,6.612277,6.734706,4.856857, 5.164783,7.743667,6.894151,4.666538,9.227167,8.077581,6.109833,6.621724,18.098182,12.705600, 15.490784,17.394750,12.422364,14.832727,8.326000,11.352400,3.431429,2.658261,3.219773,3.605185, 4.030299,3.262241,3.503250,3.522763,2.847312,2.996618,3.075769,3.387731,3.066923,3.078200, 2.466957,3.214167,2.707778,3.384839,2.283556,2.912258,3.378000,2.726750,2.950000,2.195000, 4.819063,3.604578,3.694906,5.068000,4.676582,3.028831,4.261042,3.593235,4.501224,2.880317, 5.750333,3.257833,3.967458,2.522292,2.725738,2.549231,2.591389,2.990488,2.681222,2.685854, 2.284750,2.585938,2.432824,3.108875,2.611340,3.916667,2.418095,2.476406,2.801235,3.278000, 2.434921,2.617826,3.133939,2.774321,4.196173,3.764286,3.555833,5.317361,3.970800,4.136400, 4.487013,3.746393,4.754000,3.854316,3.742353,3.044079,2.817821,3.995179,3.643134,3.642593, 3.604533,2.935902,4.088310,5.344407,3.076883,3.287105,3.720870,2.032258,2.872593,5.787313, 6.017838,5.425205,4.880600,3.582295,4.903333,3.489016,4.603030,5.344407,6.184286,4.047083, 4.788304,4.661325,4.815938,4.056790,3.765595,5.348772,5.200222,4.906311,3.900147,3.782897, 3.767313,3.417732,3.725455,2.888750,2.552333,2.521613,2.531522,2.510833,2.710208,2.445273, 2.619750,2.094737,2.399355,2.758000,2.317077,2.247755,3.594333,4.607805,2.693333,3.084706, 3.529000,2.326200,3.309851,2.647805,2.802250,2.778667,3.231235,2.418065,3.134545,3.807843, 2.988372,2.709792,3.084035,3.633279,2.958750,2.170081,2.674444,2.640706,2.841600,3.399219, 2.561373,2.574824,3.046447,2.647500,3.554875,1.865000,2.858333,2.355000,2.508082,2.376833, 2.728710,1.752833,1.571967,1.800333,2.265455,2.353226,2.568028,2.359500,2.472639,1.675385, 2.667386,2.490000,2.482632,2.593452,2.695510,2.466941,2.624211,3.835645,3.519667,2.661940, 3.516167,3.146585,3.420462,4.809833,3.028500,3.192297,4.256333,2.516897,3.033846,2.793359, 6.700714,5.441250,6.872500,4.528333,7.490328,4.673788,6.376885,3.023167,4.429167,4.317625, 16.729231,8.372500,6.279828,10.805098,8.359452,8.277576,8.008846,8.742308,12.155942,5.975063, 3.317333,2.883021,3.310822,3.119219,3.921190,3.552986,3.647162,4.017667,3.895342,3.381096, 2.769412,3.225294,4.169333,3.733919,2.859492,3.674875,3.401017,3.160267,4.109545,4.347867, 3.867000,3.672763,4.364844,3.804250,2.613000,4.289909,4.212059,4.785797,4.149687,6.299444, 5.640135,5.713448,4.766438,7.032027,5.610533,3.126111,6.322029,4.417692,6.392532,2.753175, 2.549655,3.456533,3.199000,3.852338,3.387549,3.098033,3.271733,3.679180,2.655484,6.858167, 5.808033,7.551111,8.388387,5.108732,7.895152,5.223580,5.741714,8.026250,4.928421,2.797292, 3.052500,2.934615,2.842051,2.869259,2.702400,2.666977,2.935385,2.546471,2.617755,3.020250, 2.922955,3.133500,3.353750,3.101000,2.581235,3.624715,2.376164,3.597467,3.011519,2.885250, 2.642716,2.843788,3.125000,2.394034,3.126125,2.960125,3.553800,3.045733,2.823375,2.953951, 3.170694,3.746500,3.421519,2.876707,3.162206,2.976852,2.912917,3.510784,2.822763,3.245244, 3.322738,3.168776,2.822700,2.898500,4.311667,3.517195,4.239014,3.615676,3.625652,4.693542, 3.426379,3.446250,4.204375,4.061000,2.864167,3.498772,3.817303,2.649300,2.913529,2.773400, 3.844833,3.312581,4.072025,3.578395,3.856429,3.666889,2.554505,2.615469,2.686667,4.848387, 3.182667,3.172364,2.829063,2.998182,2.224000,3.238167,4.072407,5.915490,5.872632,4.942597, 6.163684,5.003750,1.592295,2.398679,2.360000,1.930200,2.341746,2.352031,2.577647,2.286604, 2.172000,2.430889,2.647231,2.748500,2.837692,2.764884,2.511774,3.047451,2.744737,2.733871, 2.666818,3.047800,6.127000,3.212807,7.100615,5.016842,5.404091,4.586324,4.815738,2.667867, 2.583625,3.023099,2.364154,3.033077,2.712821,3.104861,2.451831,10.244054,9.028333,6.488088, 11.350333,10.805227,2.796250,3.901455,8.846500,5.692500,4.502549,9.645833,12.323077,11.690702, 9.757213,10.140000,6.435873,8.559375,12.581639,9.658000,7.910395,10.317167,14.744098,3.019400, 3.196154,2.924583,2.926393,3.435926,2.940968,2.729048,2.419625,3.257031,2.246915,2.405352, 4.807167,3.329661,3.300256,2.626364,2.588714,2.516825,3.369804,2.802381,2.703889,1.899500, 2.624286,3.370244,3.224510,2.587368,3.243881,3.209474,2.644154,3.591132,3.179851,3.118125, 3.428333,3.078033,2.639219,2.392979,3.035208,8.924667,7.126420,4.412626,7.663580,9.798000, 7.091940,6.561806,10.351000,7.816000,5.686581,7.486833,5.878148,5.549032,1.775849,3.393235, 3.730208,3.131846,2.988404,3.922286,3.835077,1.918780,2.614118,2.564207,3.160625,2.085614, 2.498033,1.107183,2.408000,2.226296,3.063281,2.647500,3.149726,1.929091,2.297000,4.035500, 7.813846,18.976765,10.127547,12.294455,5.909020,7.263115,13.789367,6.608750,3.110926,4.948333, 7.655873,5.366154,2.468889,3.215000,3.329375,2.722821,3.115902,2.538235,3.233171,3.060541, 3.377647,2.837049,3.071290,2.293400,3.034937,2.943846,2.987534,2.947222,3.286522,2.794600, 2.950822,1.542667,2.318085,3.049583,2.384250,2.554146,1.761333,2.028356,2.434590,3.128333, 2.838437,3.331000,2.645116,3.038667,2.646000,3.082857,4.406301,4.136000,2.161429,1.832424, 3.027742,3.908958,3.479608,3.566562,2.101875,2.960122,2.804752,2.334105,3.993836,2.878116, 2.828197,2.674353,3.231500,2.468000,2.152400,3.290274,5.412121,2.775909,9.023833,6.593125, 3.417558,4.213469,2.771452,7.874776,2.453871,3.166833,2.657000,2.526111,3.105400,2.973265, 4.900667,3.042551,2.861647,3.745125,3.244643,2.177500,2.119167,2.798000,3.005577,2.837347, 3.211167,3.381358,3.200306,4.640167,5.564706,3.043121,6.172000,2.490000,4.449667,5.433918, 4.652576,3.197619,2.675631,2.547407,3.462195,2.657468,3.016087,2.814262,2.966383,3.288033, 2.278676,2.609537,2.633667,2.815000,3.465000,2.231538,3.161538,3.412667,3.516800,3.249452, 2.418734,3.245455,2.650800,3.634038,3.255484,1.992093,3.184429,3.155200,2.997500,3.887931, 2.597500,3.316406,3.684091,3.707107,4.479692,3.292833,2.806935,2.833143,2.962857,2.229474, 3.786700,4.029756,3.174118,6.493770,4.611944,6.103279,5.899687,2.946711,6.338660,5.237273, 3.413553,3.226667,4.193143,6.192375,9.437436,1.863548,3.185567) #plot it hist(iniSal_US_forHist,breaks=seq(1.1,21,by=0.625),col="grey",freq=F,xlim=c(0,21)) #try fitting it curve(dinvgamma(x,scale=11.835,shape=4.4242),from=0,to=20,add=T,col="blue",lwd=2)
_________________________________________________________________ David Scott Department of Statistics The University of Auckland, PB 92019 Auckland 1142, NEW ZEALAND Phone: +64 9 923 5055, or +64 9 373 7599 ext 85055 Email: d.scott at auckland.ac.nz, Fax: +64 9 373 7018 Director of Consulting, Department of Statistics