MATLAB: The average of multiple Probability density functions

cell arraysmeanparameter values of pd

Hallo,

I have a cell array of {1000,1} pds, they are all the same distribution, but they differ slightly in the parameter values

Does any one know how to get the average of these pds? I have got them in iterative process and would like now to know the mean or average of them

I though of taking the mean of the parameter values in the pds in for loop but I am truggling with the right way to do it because I keep getting errors.

it would be helpful if some one gives me a hint 🙂

I have attached the cell array (Temp) in mat file

Thanks in advanced!

Best Answer

The idea of "average" is ill-defined for pdfs.

In your case, all the 1000 distridutions are generalized paretos. Your theta is fixed in all pdfs, so you can certainly take the average of the sigma's and the k's. But what meaning/significance those "averages" carry, you need to come up with that.

If you are looking for the average expected value, you can calculate the mean (expected value) for each pareto and then average those. mean = theta + (sigma/(1-k)). ref: https://en.wikipedia.org/wiki/Generalized_Pareto_distribution

Also, if you are looking for the overall distribution parameters, you can combine the input data [available in Temp{}.InputData.data] and use gppdf().

Hope this helps.

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