LognormalDistribution
statistics: LognormalDistribution
Lognormal probability distribution object.
A LognormalDistribution
object consists of parameters, a model
description, and sample data for a lognormal probability distribution.
The lognormal distribution is a continuous probability distribution whose logarithm is normally distributed. It is defined by mean parameter mu and standard deviation parameter sigma of the logarithmic values.
There are several ways to create a LognormalDistribution
object.
fitdist
function.
makedist
function.
LognormalDistribution (mu,
sigma)
to create a lognormal distribution with fixed parameter
values mu and sigma.
LognormalDistribution.fit (x,
censor, freq, options)
to fit a distribution to the
data in x using the same input arguments as the lognfit
function.
It is highly recommended to use fitdist
and makedist
functions to create probability distribution objects, instead of the class
constructor or the aforementioned static method.
Further information about the lognormal distribution can be found at https://en.wikipedia.org/wiki/Log-normal_distribution
See also: fitdist, makedist, logncdf, logninv, lognpdf, lognrnd, lognfit, lognlike, lognstat
Source Code: LognormalDistribution
A scalar value characterizing the mean of the logarithmic values of the
lognormal distribution. You can access the mu
property using dot name assignment.
## Create a Lognormal distribution with default parameters data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); ## Query parameter 'mu' (mean of logarithmic values) pd.mu ## Set parameter 'mu' pd.mu = 1 ## Use this to initialize or modify the mean parameter of the logarithmic values ## in a Lognormal distribution. The mu parameter must be a real scalar, often ## representing the log-mean of multiplicative processes, like growth rates. ans = 3.2683e-03 pd = LognormalDistribution Lognormal distribution mu = 1 sigma = 0.99306 |
## Create a Lognormal distribution object by calling its constructor pd = LognormalDistribution (1.5, 0.5) ## Query parameter 'mu' pd.mu ## This demonstrates direct construction with a specific mu parameter, ## useful for modeling skewed positive data shifted in log-scale, such as incomes or sizes. pd = LognormalDistribution Lognormal distribution mu = 1.5 sigma = 0.5 ans = 1.5000 |
A positive scalar value characterizing the standard deviation of the
logarithmic values of the lognormal distribution. You can access the
sigma
property using dot name assignment.
## Create a Lognormal distribution with default parameters data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); ## Query parameter 'sigma' (standard deviation of logarithmic values) pd.sigma ## Set parameter 'sigma' pd.sigma = 0.5 ## Use this to initialize or modify the sigma parameter in a Lognormal ## distribution. The sigma parameter must be a positive real scalar, controlling ## the skewness and spread of the distribution. ans = 0.9955 pd = LognormalDistribution Lognormal distribution mu = -0.0175268 sigma = 0.5 |
## Create a Lognormal distribution object by calling its constructor pd = LognormalDistribution (0, 1.5) ## Query parameter 'sigma' pd.sigma ## This shows how to set the sigma parameter directly via the constructor, ## ideal for modeling variability in positive skewed data, such as stock returns. pd = LognormalDistribution Lognormal distribution mu = 0 sigma = 1.5 ans = 1.5000 |
A character vector specifying the name of the probability distribution object. This property is read-only.
A scalar integer value specifying the number of parameters characterizing the probability distribution. This property is read-only.
A cell array of character vectors with each element containing the name of a distribution parameter. This property is read-only.
A cell array of character vectors with each element containing a short description of a distribution parameter. This property is read-only.
A numeric vector containing the values of the distribution
parameters. This property is read-only. You can change the distribution
parameters by assigning new values to the mu
and sigma
properties.
A numeric matrix containing the variance-covariance of the parameter estimates. Diagonal elements contain the variance of each estimated parameter, and non-diagonal elements contain the covariance between the parameter estimates. The covariance matrix is only meaningful when the distribution was fitted to data. If the distribution object was created with fixed parameters, or a parameter of a fitted distribution is modified, then all elements of the variance-covariance are zero. This property is read-only.
A logical vector specifying which parameters are fixed and
which are estimated. true
values correspond to fixed parameters,
false
values correspond to parameter estimates. This property is
read-only.
A numeric vector specifying the truncation interval for the
probability distribution. First element contains the lower boundary,
second element contains the upper boundary. This property is read-only.
You can only truncate a probability distribution with the
truncate
method.
A logical scalar value specifying whether a probability distribution is truncated or not. This property is read-only.
A scalar structure containing the following fields:
data
: a numeric vector containing the data used for
distribution fitting.
cens
: a numeric vector of logical values indicating
censoring information corresponding to the elements of the data used for
distribution fitting. If no censoring vector was used for distribution
fitting, then this field defaults to an empty array.
freq
: a numeric vector of non-negative integer values
containing the frequency information corresponding to the elements of the
data used for distribution fitting. If no frequency vector was used for
distribution fitting, then this field defaults to an empty array.
LognormalDistribution: p = cdf (pd, x)
LognormalDistribution: p = cdf (pd, x, "upper"
)
p = cdf (pd, x)
computes the CDF of the
probability distribution object, pd, evaluated at the values in
x.
p = cdf (…,
returns the complement of
the CDF of the probability distribution object, pd, evaluated at
the values in x.
"upper"
)
## Plot various CDFs from the Lognormal distribution x = 0:0.01:10; data1 = lognrnd (0, 0.5, 10000, 1); data2 = lognrnd (0, 1.0, 10000, 1); data3 = lognrnd (0, 1.5, 10000, 1); pd1 = fitdist (data1, "Lognormal"); pd2 = fitdist (data2, "Lognormal"); pd3 = fitdist (data3, "Lognormal"); p1 = cdf (pd1, x); p2 = cdf (pd2, x); p3 = cdf (pd3, x); plot (x, p1, "-b", x, p2, "-g", x, p3, "-r") grid on legend ({"mu = 0, sigma = 0.5", "mu = 0, sigma = 1", "mu = 0, sigma = 1.5"}, ... "location", "southeast") title ("Lognormal CDF") xlabel ("values in x (x > 0)") ylabel ("Cumulative probability") ## Use this to compute and visualize the cumulative distribution function ## for different Lognormal distributions, showing how probability accumulates ## for positive skewed data, useful in finance or biology modeling. |
LognormalDistribution: x = icdf (pd, p)
x = icdf (pd, p)
computes the quantile (the
inverse of the CDF) of the probability distribution object, pd,
evaluated at the values in p.
## Plot various iCDFs from the Lognormal distribution p = 0.001:0.001:0.999; data1 = lognrnd (0, 0.5, 10000, 1); data2 = lognrnd (0, 1.0, 10000, 1); data3 = lognrnd (0, 1.5, 10000, 1); pd1 = fitdist (data1, "Lognormal"); pd2 = fitdist (data2, "Lognormal"); pd3 = fitdist (data3, "Lognormal"); x1 = icdf (pd1, p); x2 = icdf (pd2, p); x3 = icdf (pd3, p); plot (p, x1, "-b", p, x2, "-g", p, x3, "-r") grid on legend ({"mu = 0, sigma = 0.5", "mu = 0, sigma = 1", "mu = 0, sigma = 1.5"}, ... "location", "northwest") title ("Lognormal iCDF") xlabel ("Probability") ylabel ("values in x (x > 0)") ## This demonstrates the inverse CDF (quantiles) for Lognormal ## distributions, useful for finding values corresponding to given ## probabilities, such as risk thresholds in finance. |
LognormalDistribution: r = iqr (pd)
r = iqr (pd)
computes the interquartile range of the
probability distribution object, pd.
## Compute the interquartile range for a Lognormal distribution data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); iqr_value = iqr (pd) ## Use this to calculate the interquartile range, which measures the spread ## of the middle 50% of the distribution, helpful for understanding central ## variability in skewed positive data. iqr_value = 1.4811 |
LognormalDistribution: m = mean (pd)
m = mean (pd)
computes the mean of the probability
distribution object, pd.
## Compute the mean for different Lognormal distributions data1 = lognrnd (0, 0.5, 10000, 1); data2 = lognrnd (0, 1.0, 10000, 1); pd1 = fitdist (data1, "Lognormal"); pd2 = fitdist (data2, "Lognormal"); mean1 = mean (pd1) mean2 = mean (pd2) ## This shows how to compute the expected value for Lognormal ## distributions with different sigma parameters, representing average ## outcomes in multiplicative processes. mean1 = 1.1371 mean2 = 1.6404 |
LognormalDistribution: m = median (pd)
m = median (pd)
computes the median of the probability
distribution object, pd.
## Compute the median for different Lognormal distributions data1 = lognrnd (0, 0.5, 10000, 1); data2 = lognrnd (0, 1.0, 10000, 1); pd1 = fitdist (data1, "Lognormal"); pd2 = fitdist (data2, "Lognormal"); median1 = median (pd1) median2 = median (pd2) ## Use this to find the median value, which splits the distribution ## into two equal probability halves, robust to skewness in positive data. median1 = 1.0013 median2 = 0.9864 |
LognormalDistribution: nlogL = negloglik (pd)
nlogL = negloglik (pd)
computes the negative
loglikelihood of the probability distribution object, pd.
## Compute the negative loglikelihood for a fitted Lognormal distribution rand ("seed", 21); data = lognrnd (0, 1, 100, 1); pd_fitted = fitdist (data, "Lognormal"); params = [pd_fitted.mu, pd_fitted.sigma]; nlogL_lognlike = lognlike (params, data) ## This is useful for assessing the fit of a Lognormal distribution to ## data, with lower values indicating a better fit, often used in model comparison. nlogL_lognlike = 119.01 |
LognormalDistribution: ci = paramci (pd)
LognormalDistribution: ci = paramci (pd, Name, Value)
ci = paramci (pd)
computes the lower and upper
boundaries of the 95% confidence interval for each parameter of the
probability distribution object, pd.
ci = paramci (pd, Name, Value)
computes
the confidence intervals with additional options specified by
Name-Value
pair arguments listed below.
Name | Value | |
---|---|---|
"Alpha" | A scalar value in the range specifying the significance level for the confidence interval. The default value 0.05 corresponds to a 95% confidence interval. | |
"Parameter" | A character vector or a cell array of
character vectors specifying the parameter names for which to compute
confidence intervals. By default, paramci computes confidence
intervals for all distribution parameters. |
paramci
is meaningful only when pd is fitted to data,
otherwise an empty array, []
, is returned.
## Compute confidence intervals for parameters of a fitted Lognormal ## distribution rand ("seed", 21); data = lognrnd (0, 1, 1000, 1); pd_fitted = fitdist (data, "Lognormal"); ci = paramci (pd_fitted, "Alpha", 0.05) ## Use this to obtain confidence intervals for the estimated parameters (mu ## and sigma), providing a range of plausible values given the data. ci = -0.047292 0.938386 0.074275 1.024439 |
LognormalDistribution: y = pdf (pd, x)
y = pdf (pd, x)
computes the PDF of the
probability distribution object, pd, evaluated at the values in
x.
## Plot various PDFs from the Lognormal distribution x = 0:0.01:10; data1 = lognrnd (0, 0.5, 10000, 1); data2 = lognrnd (0, 1.0, 10000, 1); data3 = lognrnd (0, 1.5, 10000, 1); pd1 = fitdist (data1, "Lognormal"); pd2 = fitdist (data2, "Lognormal"); pd3 = fitdist (data3, "Lognormal"); y1 = pdf (pd1, x); y2 = pdf (pd2, x); y3 = pdf (pd3, x); plot (x, y1, "-b", x, y2, "-g", x, y3, "-r") grid on legend ({"mu = 0, sigma = 0.5", "mu = 0, sigma = 1", "mu = 0, sigma = 1.5"}, ... "location", "northeast") title ("Lognormal PDF") xlabel ("values in x (x > 0)") ylabel ("Probability density") ## This visualizes the probability density function for Lognormal ## distributions, showing the likelihood for positive skewed values. |
LognormalDistribution: plot (pd)
LognormalDistribution: plot (pd, Name, Value)
LognormalDistribution: h = plot (…)
plot (pd)
plots a probability density function (PDF) of the
probability distribution object pd. If pd contains data,
which have been fitted by fitdist
, the PDF is superimposed over a
histogram of the data.
plot (pd, Name, Value)
specifies additional
options with the Name-Value
pair arguments listed below.
Name | Value | |
---|---|---|
"PlotType" | A character vector specifying the plot
type. "pdf" plots the probability density function (PDF). When
pd is fit to data, the PDF is superimposed on a histogram of the
data. "cdf" plots the cumulative density function (CDF). When
pd is fit to data, the CDF is superimposed over an empirical CDF.
"probability" plots a probability plot using a CDF of the data
and a CDF of the fitted probability distribution. This option is
available only when pd is fitted to data. | |
"Discrete" | A logical scalar to specify whether to
plot the PDF or CDF of a discrete distribution object as a line plot or a
stem plot, by specifying false or true , respectively. By
default, it is true for discrete distributions and false
for continuous distributions. When pd is a continuous distribution
object, option is ignored. | |
"Parent" | An axes graphics object for plot. If
not specified, the plot function plots into the current axes or
creates a new axes object if one does not exist. |
h = plot (…)
returns a graphics handle to the plotted
objects.
## Create a Lognormal distribution with fixed parameters mu = 0 and ## sigma = 1 and plot its PDF. data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); plot (pd) title ("Fixed Lognormal distribution with mu = 0 and sigma = 1") |
## Generate a data set of 100 random samples from a Lognormal ## distribution with parameters mu = 0 and sigma = 1. Fit a Lognormal ## distribution to this data and plot its CDF superimposed over an empirical ## CDF. rand ("seed", 21); data = lognrnd (0, 1, 100, 1); pd_fitted = fitdist (data, "Lognormal"); plot (pd_fitted, "PlotType", "cdf") txt = "Fitted Lognormal distribution with mu = %0.2f and sigma = %0.2f"; title (sprintf (txt, pd_fitted.mu, pd_fitted.sigma)) legend ({"empirical CDF", "fitted CDF"}, "location", "southeast") ## Use this to visualize the fitted CDF compared to the empirical CDF of the ## data, useful for assessing model fit. |
## Generate a data set of 200 random samples from a Lognormal ## distribution with parameters mu = 0 and sigma = 1. Display a probability ## plot for the Lognormal distribution fit to the data. rand ("seed", 21); data = lognrnd (0, 1, 200, 1); pd_fitted = fitdist (data, "Lognormal"); plot (pd_fitted, "PlotType", "probability") txt = strcat ("Probability plot of fitted Lognormal", ... " distribution with mu = %0.2f and sigma = %0.2f"); title (sprintf (txt, pd_fitted.mu, pd_fitted.sigma)) legend ({"empirical CDF", "fitted CDF"}, "location", "southeast") ## This creates a probability plot to compare the fitted distribution to the ## data, useful for checking if the Lognormal model is appropriate. |
LognormalDistribution: [nlogL, param] = proflik (pd, pnum)
LognormalDistribution: [nlogL, param] = proflik (pd, pnum, "Display"
, display)
LognormalDistribution: [nlogL, param] = proflik (pd, pnum, setparam)
LognormalDistribution: [nlogL, param] = proflik (pd, pnum, setparam, "Display"
, display)
[nlogL, param] = proflik (pd, pnum)
returns a vector nlogL of negative loglikelihood values and a
vector param of corresponding parameter values for the parameter in
the position indicated by pnum. By default, proflik
uses
the lower and upper bounds of the 95% confidence interval and computes
100 equispaced values for the selected parameter. pd must be
fitted to data.
[nlogL, param] = proflik (pd, pnum,
also plots the profile likelihood
against the default range of the selected parameter.
"Display"
, "on"
)
[nlogL, param] = proflik (pd, pnum,
setparam)
defines a user-defined range of the selected parameter.
[nlogL, param] = proflik (pd, pnum,
setparam,
also plots the profile
likelihood against the user-defined range of the selected parameter.
"Display"
, "on"
)
For the Lognormal distribution, pnum = 1
selects
the parameter mu
and pnum = 2
selects the
parameter sigma
.
When opted to display the profile likelihood plot, proflik
also
plots the baseline loglikelihood computed at the lower bound of the 95%
confidence interval and estimated maximum likelihood. The latter might
not be observable if it is outside of the used-defined range of parameter
values.
## Compute and plot the profile likelihood for the sigma parameter of a fitted ## Lognormal distribution rand ("seed", 21); data = lognrnd (0, 1, 1000, 1); pd_fitted = fitdist (data, "Lognormal"); [nlogL, param] = proflik (pd_fitted, 2, "Display", "on"); ## Use this to analyze the profile likelihood of the sigma parameter, ## helping to understand the uncertainty in parameter estimates. |
LognormalDistribution: r = random (pd)
LognormalDistribution: r = random (pd, rows)
LognormalDistribution: r = random (pd, rows, cols, …)
LognormalDistribution: r = random (pd, [sz])
r = random (pd)
returns a random number from the
distribution object pd.
When called with a single size argument, lognrnd
returns a square
matrix with the dimension specified. When called with more than one
scalar argument, the first two arguments are taken as the number of rows
and columns and any further arguments specify additional matrix
dimensions. The size may also be specified with a row vector of
dimensions, sz.
## Generate random samples from a Lognormal distribution rand ("seed", 21); samples = lognrnd (0, 1, 500, 1); hist (samples, 50) title ("Histogram of 500 random samples from Lognormal(mu=0, sigma=1)") xlabel ("values in x (x > 0)") ylabel ("Frequency") ## This generates random samples from a Lognormal distribution, useful ## for simulating skewed positive data like asset prices or biological measurements. |
LognormalDistribution: s = std (pd)
s = std (pd)
computes the standard deviation of the
probability distribution object, pd.
## Compute the standard deviation for a Lognormal distribution data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); std_value = std (pd) ## Use this to calculate the standard deviation, which measures the variability ## in the positive skewed values of the distribution. std_value = 2.1528 |
LognormalDistribution: t = truncate (pd, lower, upper)
t = truncate (pd, lower, upper)
returns a
probability distribution t, which is the probability distribution
pd truncated to the specified interval with lower limit,
lower, and upper limit, upper. If pd is fitted to data
with fitdist
, the returned probability distribution t is not
fitted, does not contain any data or estimated values, and it is as it
has been created with the makedist function, but it includes the
truncation interval.
## Plot the PDF of a Lognormal distribution, with parameters mu = 0 ## and sigma = 1, truncated at [0.5, 5] intervals. Generate 10000 random ## samples from this truncated distribution and superimpose a histogram scaled ## accordingly rand ("seed", 21); data_all = lognrnd (0, 1, 20000, 1); data = data_all(data_all >= 0.5 & data_all <= 5); data = data(1:10000); pd = fitdist (data, "Lognormal"); t = truncate (pd, 0.5, 5); [counts, centers] = hist (data, 50); bin_width = centers(2) - centers(1); bar (centers, counts / (sum (counts) * bin_width), 1); hold on; x = linspace (0.5, 5, 500); y = pdf (t, x); plot (x, y, "r", "linewidth", 2); title ("Lognormal distribution (mu = 0, sigma = 1) truncated at [0.5, 5]") legend ("Truncated PDF", "Histogram") ## This demonstrates truncating a Lognormal distribution to a specific ## range and visualizing the resulting distribution with random samples. |
LognormalDistribution: v = var (pd)
v = var (pd)
computes the variance of the
probability distribution object, pd.
## Compute the variance for a Lognormal distribution data = lognrnd (0, 1, 10000, 1); pd = fitdist (data, "Lognormal"); var_value = var (pd) ## Use this to calculate the variance, which quantifies the spread of the ## positive skewed values in the distribution. var_value = 4.8417 |
pd_fixed = makedist ("Lognormal", "mu", 0, "sigma", 1) randn ("seed", 2); data = random (pd_fixed, 5000, 1); pd_fitted = fitdist (data, "Lognormal") plot (pd_fitted) msg = "Fitted Lognormal distribution with mu = %0.2f and sigma = %0.2f"; title (sprintf (msg, pd_fitted.mu, pd_fitted.sigma)) |
pd_fixed = LognormalDistribution Lognormal distribution mu = 0 sigma = 1 pd_fitted = LognormalDistribution Lognormal distribution mu = 0.00166669 [-0.0251795, 0.0285129] sigma = 0.968309 [0.949696, 0.987671] |