How do you find best probability density distribution for a data set?

[Jim21]

How do you find the best probability density distribution that fits a particular data set? Is there any software that will take a data set and run through the various distributions to find the best fit?

I typically work with four distributions: (1) Uniform, (2) Normal, (3) LogNormal and (4) Triangular.

Thanks,

Jim21

[Dragan]

Originally Posted by Jim21

How do you find the best probability density distribution that fits a particular data set? Is there any software that will take a data set and run through the various distributions to find the best fit?

I typically work with four distributions: (1) Uniform, (2) Normal, (3) LogNormal and (4) Triangular.

Thanks,

Jim21

I think a better - or more flexible - option would be to use a family of distributions with solvable parameters that fit a pdf to a specific set of data.

An example would be making use of Generalized Lambda Distributions (GLDs).

See my first post in this thread:

http://talkstats.com/showthread.php?...ralized+lambda