[SciPy-User] specify lognormal distribution with mu and sigma using scipy.stats
Wed Oct 14 08:42:20 CDT 2009
On Wed, Oct 14, 2009 at 9:20 AM, <firstname.lastname@example.org> wrote:
> On Wed, Oct 14, 2009 at 4:22 AM, Mark Bakker <email@example.com> wrote:
>> Hello list,
>> I am having trouble creating a lognormal distribution with known mean mu and
>> standard deviation sigma using scipy.stats
>> According to the docs, the programmed function is:
>> lognorm.pdf(x,s) = 1/(s*x*sqrt(2*pi)) * exp(-1/2*(log(x)/s)**2)
>> So s is the standard deviation. But how do I specify the mean? I found some
>> information that when you specify loc and scale, you replace x by
>> But in the lognormal distribution, you want to replace log(x) by log(x)-loc
>> where loc is mu. How do I do that? In addition, would it be a good idea to
>> create some convenience functions that allow you to simply create lognormal
>> (and maybe normal) distributions by specifying the more common mu and sigma?
>> That would surely make things more userfriendly.
> I don't think loc of lognorm makes much sense in most application,
> since it is just shifting the support, lower boundary is zero+loc. The
> loc of the underlying normal distribution enters through the scale.
> see also http://en.wikipedia.org/wiki/Log-normal_distribution#Mean_and_standard_deviation
>>>> print stats.lognorm.extradoc
> Lognormal distribution
> lognorm.pdf(x,s) = 1/(s*x*sqrt(2*pi)) * exp(-1/2*(log(x)/s)**2)
> for x > 0, s > 0.
> If log x is normally distributed with mean mu and variance sigma**2,
> then x is log-normally distributed with shape paramter sigma and scale
> parameter exp(mu).
> roundtrip with mean mu of the underlying normal distribution (scale=1):
>>>> np.log(stats.lognorm.stats(1, loc=0,scale=np.exp(mu)))-0.5
> array([ 0., 1., 2., 3., 4.])
> corresponding means of lognormal distribution
>>>> stats.lognorm.stats(1, loc=0,scale=np.exp(mu))
> array([ 1.64872127, 4.48168907, 12.18249396, 33.11545196, 90.0171313 ])
> shifting support:
>>>> stats.lognorm.ppf([0, 0.5, 1], 1, loc=3,scale=1)
> array([ 3., 4., Inf])
> The only case that I know for lognormal is in regression, so I'm not
> sure what you mean by the convenience functions.
> (the normal distribution is defined by loc=mean, scale=standard deviation)
> assume the regression equation is
> y = x*beta*exp(u) u distributed normal(0, sigma^2)
> this implies
> ln y = ln(x*beta) + u which is just a standard linear regression
> equation which can be estimated by ols or mle
I think, I don't remember this part correctly, I just realized that
the regression equation would be non-linear in parameters.
> exp(u) in this case is lognormal distributed
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