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[project @ 2007-07-18 17:03:10 by jwe]
author | jwe |
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date | Wed, 18 Jul 2007 17:03:11 +0000 |
parents | 451b346d8c2f |
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@c Copyright (C) 1996, 1997, 2007 John W. Eaton @c This is part of the Octave manual. @c For copying conditions, see the file gpl.texi. @node Statistics @chapter Statistics Octave has support for various statistical methods. This includes basic descriptive statistics, statistical tests, random number generation, and much more. The functions that analyze data all assume that multidimensional data is arranged in a matrix where each row is an observation, and each column is a variable. So, the matrix defined by @example a = [ 0.9, 0.7; 0.1, 0.1; 0.5, 0.4 ]; @end example @noindent contains three observations from a two-dimensional distribution. While this is the default data arrangement, most functions support different arrangements. It should be noted that the statistics functions doesn't handle data containing NaN, NA, or Inf. Such values needs to be handled explicitly. @menu * Descriptive Statistics:: * Basic Statistical Functions:: * Statistical Plots:: * Tests:: * Models:: * Distributions:: * Random Number Generation:: @end menu @node Descriptive Statistics @section Descriptive Statistics Octave can compute various statistics such as the moments of a data set. @DOCSTRING(mean) @DOCSTRING(median) @DOCSTRING(meansq) @DOCSTRING(std) @DOCSTRING(var) @DOCSTRING(cov) @DOCSTRING(cor) @DOCSTRING(corrcoef) @DOCSTRING(kurtosis) @DOCSTRING(skewness) @DOCSTRING(statistics) @DOCSTRING(moment) @node Basic Statistical Functions @section Basic Statistical Functions Octave also supports various helpful statistical functions. @DOCSTRING(mahalanobis) @DOCSTRING(center) @DOCSTRING(studentize) @DOCSTRING(nchoosek) @DOCSTRING(perms) @DOCSTRING(values) @DOCSTRING(table) @DOCSTRING(spearman) @DOCSTRING(run_count) @DOCSTRING(ranks) @DOCSTRING(range) @DOCSTRING(probit) @DOCSTRING(logit) @DOCSTRING(cloglog) @DOCSTRING(kendall) @DOCSTRING(iqr) @DOCSTRING(cut) @node Statistical Plots @section Statistical Plots @c Should hist be moved to here, or perhaps the qqplot and ppplot @c functions should be moved to the Plotting Chapter? Octave can create Quantile Plots (QQ-Plots), and Probability Plots (PP-Plots). These are simple graphical tests for determining if a data set comes from a certain distribution. It is worth noticing that Octave can also show histograms of data using the @code{hist} function as described in @ref{Specialized Two-Dimensional Plots}. @DOCSTRING(qqplot) @DOCSTRING(ppplot) @node Tests @section Tests Octave can perform several different statistical tests. The following table summarizes the available tests. @multitable @columnfractions .4 .5 @item @strong{Hypothesis} @tab @strong{Test Functions} @item Equal mean values @tab @code{anova}, @code{hotelling_test2}, @code{t_test_2}, @code{welch_test}, @code{wilcoxon_test}, @code{z_test_2} @item Equal medians @tab @code{kruskal_wallis_test}, @code{sign_test} @item Equal variances @tab @code{bartlett_test}, @code{manova}, @code{var_test} @item Equal distributions @tab @code{chisquare_test_homogeneity}, @code{kolmogorov_smirnov_test_2}, @code{u_test} @item Equal marginal frequencies @tab @code{mcnemar_test} @item Equal success probabilities @tab @code{prop_test_2} @item Independent observations @tab @code{chisquare_test_independence}, @code{run_test} @item Uncorrelated observations @tab @code{cor_test} @item Given mean value @tab @code{hotelling_test}, @code{t_test}, @code{z_test} @item Observations from given distribution @tab @code{kolmogorov_smirnov_test} @item Regression @tab @code{f_test_regression}, @code{t_test_regression} @end multitable The tests return a p-value that describes the outcome of the test. Assuming that the test hypothesis is true, the p-value is the probability of obtaining a worse result then the observed one. So large p-values corresponds to a successful test. Usually a test hypothesis is accepted if the p-value exceeds @math{0.05}. @DOCSTRING(anova) @DOCSTRING(bartlett_test) @DOCSTRING(chisquare_test_homogeneity) @DOCSTRING(chisquare_test_independence) @DOCSTRING(cor_test) @DOCSTRING(f_test_regression) @DOCSTRING(hotelling_test) @DOCSTRING(hotelling_test_2) @DOCSTRING(kolmogorov_smirnov_test) @DOCSTRING(kolmogorov_smirnov_test_2) @DOCSTRING(kruskal_wallis_test) @DOCSTRING(manova) @DOCSTRING(mcnemar_test) @DOCSTRING(prop_test_2) @DOCSTRING(run_test) @DOCSTRING(sign_test) @DOCSTRING(t_test) @DOCSTRING(t_test_2) @DOCSTRING(t_test_regression) @DOCSTRING(u_test) @DOCSTRING(var_test) @DOCSTRING(welch_test) @DOCSTRING(wilcoxon_test) @DOCSTRING(z_test) @DOCSTRING(z_test_2) @node Models @section Models @DOCSTRING(logistic_regression) @node Distributions @section Distributions Octave has functions for computing the Probability Density Function (PDF), the Cumulative Distribution function (CDF), and the quantile (the inverse of the CDF) of a large number of distributions. The following table summarizes the supported distributions (in alphabetical order). @multitable @columnfractions .4 .2 .2 .2 @item @strong{Distribution} @tab @strong{PDF} @tab @strong{CDF} @tab @strong{Quantile} @item Beta Distribution @tab @code{betapdf} @tab @code{betacdf} @tab @code{betainv} @item Binomial Distribution @tab @code{binopdf} @tab @code{binocdf} @tab @code{binoinv} @item Cauchy Distribution @tab @code{cauchy_pdf} @tab @code{cauchy_cdf} @tab @code{cauchy_inv} @item Chi-Square Distribution @tab @code{chi2pdf} @tab @code{chi2cdf} @tab @code{chi2inv} @item Univariate Discrete Distribution @tab @code{discrete_pdf} @tab @code{discrete_cdf} @tab @code{discrete_inv} @item Empirical Distribution @tab @code{empirical_pdf} @tab @code{empirical_cdf} @tab @code{empirical_inv} @item Exponential Distribution @tab @code{exppdf} @tab @code{expcdf} @tab @code{expinv} @item F Distribution @tab @code{fpdf} @tab @code{fcdf} @tab @code{finv} @item Gamma Distribution @tab @code{gampdf} @tab @code{gamcdf} @tab @code{gaminv} @item Geometric Distribution @tab @code{geopdf} @tab @code{geocdf} @tab @code{geoinv} @item Hypergeometric Distribution @tab @code{hygepdf} @tab @code{hygecdf} @tab @code{hygeinv} @item Kolmogorov Smirnov Distribution @tab @emph{Not Available} @tab @code{kolmogorov_smirnov_cdf} @tab @emph{Not Available} @item Laplace Distribution @tab @code{laplace_pdf} @tab @code{laplace_cdf} @tab @code{laplace_inv} @item Logistic Distribution @tab @code{logistic_pdf} @tab @code{logistic_cdf} @tab @code{logistic_inv} @item Log-Normal Distribution @tab @code{lognpdf} @tab @code{logncdf} @tab @code{logninv} @item Pascal Distribution @tab @code{nbinpdf} @tab @code{nbincdf} @tab @code{nbininv} @item Univariate Normal Distribution @tab @code{normpdf} @tab @code{normcdf} @tab @code{norminv} @item Poisson Distribution @tab @code{poisspdf} @tab @code{poisscdf} @tab @code{poissinv} @item t (Student) Distribution @tab @code{tpdf} @tab @code{tcdf} @tab @code{tinv} @item Univariate Discrete Distribution @tab @code{unidpdf} @tab @code{unidcdf} @tab @code{unidinv} @item Uniform Distribution @tab @code{unifpdf} @tab @code{unifcdf} @tab @code{unifinv} @item Weibull Distribution @tab @code{wblpdf} @tab @code{wblcdf} @tab @code{wblinv} @end multitable @DOCSTRING(betacdf) @DOCSTRING(betainv) @DOCSTRING(betapdf) @DOCSTRING(binocdf) @DOCSTRING(binoinv) @DOCSTRING(binopdf) @DOCSTRING(cauchy_cdf) @DOCSTRING(cauchy_inv) @DOCSTRING(cauchy_pdf) @DOCSTRING(chi2cdf) @DOCSTRING(chi2inv) @DOCSTRING(chi2pdf) @DOCSTRING(discrete_cdf) @DOCSTRING(discrete_inv) @DOCSTRING(discrete_pdf) @DOCSTRING(empirical_cdf) @DOCSTRING(empirical_inv) @DOCSTRING(empirical_pdf) @DOCSTRING(expcdf) @DOCSTRING(expinv) @DOCSTRING(exppdf) @DOCSTRING(fcdf) @DOCSTRING(finv) @DOCSTRING(fpdf) @DOCSTRING(gamcdf) @DOCSTRING(gaminv) @DOCSTRING(gampdf) @DOCSTRING(geocdf) @DOCSTRING(geoinv) @DOCSTRING(geopdf) @DOCSTRING(hygecdf) @DOCSTRING(hygeinv) @DOCSTRING(hygepdf) @DOCSTRING(kolmogorov_smirnov_cdf) @DOCSTRING(laplace_cdf) @DOCSTRING(laplace_inv) @DOCSTRING(laplace_pdf) @DOCSTRING(logistic_cdf) @DOCSTRING(logistic_inv) @DOCSTRING(logistic_pdf) @DOCSTRING(logncdf) @DOCSTRING(logninv) @DOCSTRING(lognpdf) @DOCSTRING(nbincdf) @DOCSTRING(nbininv) @DOCSTRING(nbinpdf) @DOCSTRING(normcdf) @DOCSTRING(norminv) @DOCSTRING(normpdf) @DOCSTRING(poisscdf) @DOCSTRING(poissinv) @DOCSTRING(poisspdf) @DOCSTRING(tcdf) @DOCSTRING(tinv) @DOCSTRING(tpdf) @DOCSTRING(unidcdf) @DOCSTRING(unidinv) @DOCSTRING(unidpdf) @DOCSTRING(unifcdf) @DOCSTRING(unifinv) @DOCSTRING(unifpdf) @DOCSTRING(wblcdf) @DOCSTRING(wblinv) @DOCSTRING(wblpdf) @node Random Number Generation @section Random Number Generation Octave can generate random numbers from a large number of distributions. The random number generators are based on the random number generators described in @ref{Special Utility Matrices}. @c Should rand, randn, rande, randp, and randg be moved to here? The following table summarizes the available random number generators (in alphabetical order). @multitable @columnfractions .4 .3 @item @strong{Distribution} @tab @strong{Function} @item Beta Distribution @tab @code{betarnd} @item Binomial Distribution @tab @code{binornd} @item Cauchy Distribution @tab @code{cauchy_rnd} @item Chi-Square Distribution @tab @code{chi2rnd} @item Univariate Discrete Distribution @tab @code{discrete_rnd} @item Empirical Distribution @tab @code{empirical_rnd} @item Exponential Distribution @tab @code{exprnd} @item F Distribution @tab @code{frnd} @item Gamma Distribution @tab @code{gamrnd} @item Geometric Distribution @tab @code{geornd} @item Hypergeometric Distribution @tab @code{hygernd} @item Laplace Distribution @tab @code{laplace_rnd} @item Logistic Distribution @tab @code{logistic_rnd} @item Log-Normal Distribution @tab @code{lognrnd} @item Pascal Distribution @tab @code{nbinrnd} @item Univariate Normal Distribution @tab @code{normrnd} @item Poisson Distribution @tab @code{poissrnd} @item t (Student) Distribution @tab @code{trnd} @item Univariate Discrete Distribution @tab @code{unidrnd} @item Uniform Distribution @tab @code{unifrnd} @item Weibull Distribution @tab @code{wblrnd} @item Wiener Process @tab @code{wienrnd} @end multitable @DOCSTRING(betarnd) @DOCSTRING(binornd) @DOCSTRING(cauchy_rnd) @DOCSTRING(chi2rnd) @DOCSTRING(discrete_rnd) @DOCSTRING(empirical_rnd) @DOCSTRING(exprnd) @DOCSTRING(frnd) @DOCSTRING(gamrnd) @DOCSTRING(geornd) @DOCSTRING(hygernd) @DOCSTRING(laplace_rnd) @DOCSTRING(logistic_rnd) @DOCSTRING(lognrnd) @DOCSTRING(nbinrnd) @DOCSTRING(normrnd) @DOCSTRING(poissrnd) @DOCSTRING(trnd) @DOCSTRING(unidrnd) @DOCSTRING(unifrnd) @DOCSTRING(wblrnd) @DOCSTRING(wienrnd)