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superbobry / pareto

GSL powered OCaml statistics library
http://superbobry.github.io/pareto/0.2
MIT License
40 stars 5 forks source link

Issue #22 #24

Closed nrlucaroni closed 11 years ago

nrlucaroni commented 11 years ago

A common interface for all types of distributions to return a distribution with the MLE parameters set that can be inspected per distribution after. It's a bit different than scipy, but they parameterize their continuous distributions from common parameters (location-scale family). Matlab mle function takes a data-set and distribution and returns an array of parameters, which is similar.

For now, I excluded distributions that do not have a closed-form solution (gamma for example).

superbobry commented 11 years ago

Thank you! what should we do with distributions, which don't have a closed form MLE?

nrlucaroni commented 11 years ago

yeah. that's part of why I excluded them. if they are well-behaved, we can have some simple call to BFGS or newtons method, otherwise I'm not sure.