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Re: st: How to test whether data follows Exp distribution?


From   Antoine Terracol <terracol@univ-paris1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test whether data follows Exp distribution?
Date   Wed, 07 Jul 2010 21:00:56 +0200

In fact, if Y is exponential(lambda), then exp(-lambda*Y) is uniform(0,1)

In any case, if Y is exponential, then its cumulative hazard rate would be linear irrespective of lambda, and, as Nick said, exp(-lambda*Y) would have a linear quantile plot, but one would need to know the value of lambda

clear
set obs 1000
scalar lambda=2
g var=-ln(runiform())/lambda // var~E(lambda)
stset var
sts graph, cumhaz

g var2=exp(-var*lambda)
quantile var2

aNTOINE

On 07/07/2010 20:42, drreg@earthlink.net wrote:
I could also be wrong, but if Y is exponential, then wouldn't log(Y) be linear?

reg jordan


-----Original Message-----
From: "Lachenbruch, Peter"<Peter.Lachenbruch@oregonstate.edu>
Sent: Jul 7, 2010 2:01 PM
To: "'statalist@hsphsun2.harvard.edu'"<statalist@hsphsun2.harvard.edu>
Subject: RE: st: How to test whether data follows Exp distribution?

If I recall my basic math stat, log(Y) should be uniform if Y is exponential.  So you could check it that way.  A very simple idea would be to bin the logs and do a chi-squared gof test.

Tony

Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: Tuesday, July 06, 2010 11:39 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: How to test whether data follows Exp distribution?

--- On Wed, 7/7/10, Jabr, Wael M wrote:
I am trying to find if the variable I
have follows an exponential distribution.

You can use -hangroot- to check an empirical
distribution against, among others, an
exponential distribution. To install it type
in Stata -ssc install hangroot-.

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------




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