normal distribution test

107 次查看（过去 30 天）
eri
eri 2012-1-2
回答： Linda Lin 2020-12-12
i have historic data (daily) of 30 stock from 250 day (i make 30x250 matrix from it), now i want to test whether this data is normally distributed or not, how to do this? and if its not normally distributed how to normalize it?

请先登录，再回答此问题。

回答（5 个）

Richard Willey
Richard Willey 2012-1-3
Statistics Toolbox offers a number of hypothesis tests that you can use to (formally) test whether your data is normally distributed. With this said and done, I strongly recommend starting with some visualization techniques.
Functions like "normplot" will provide you with a much better feel for the nature of your data and why it does/does not match a normal distribution.
  2 个评论
eri
eri 2012-1-3
i know you have good intentions, but your answer and recommendation is confusing me, sorry
right now i want to know how to test data(in the form of matrix) distribution normality and normalize it(if not normal) using matlab
thanks
Richard Willey
Richard Willey 2012-1-4
Probability plots are a very standard way to check whether data is normally distributed. Arguably, these charts provide better information than a formal hypothesis tests.
The following code might prove helpful
% Generate a vector of 500 normally distributed random numbers with mean =
% 10 and standard deviation =5
foo = 10 + 5*randn(500, 1);
% Use a normplot to see whether the sample appears to be normally
% distributed
normplot(foo)
figure
% Generate a vector of 500 random numbers drawn from a gamma distribution
% with aplha = 5 and beta = 3
bar = gamrnd(5,3, 500,1)
% Use a normplot to see whether the sample appears to be normally
% distributed
normplot(bar)

请先登录，再进行评论。

the cyclist
the cyclist 2012-1-2
Do you have access to the Statistics Toolbox? There are at least two normality tests included there: jbtest() and lillietest().
I don't have the Finance Toolbox, but I am guessing that there may be something there as well.
You can type "docsearch normality" to poke around in the documentation.
I am not sure what you mean by normalizing it, if it is not normally distributed. Sounds like a dangerous game. Maybe you could provide some more details on what you are trying to do.
  3 个评论
显示 1更早的评论
eri
eri 2012-1-3
can you give me an example on how to do this?
Richard Willey
Richard Willey 2012-1-3
MathWorks provides dedicated functions for portfolio optimization. The best content that I am aware of is the following downloads from MATLAB Central. (There is an associated webinar that you can view to get an introduction to the techniques)
http://www.mathworks.com/matlabcentral/fileexchange/31290-using-matlab-to-optimize-portfolios-with-financial-toolbox

请先登录，再进行评论。

bym
bym 2012-1-2
for normalization you can try the Box-Cox transformation
or the Johnson transformation
or just fit it with a non-normal distribution
  1 个评论
eri
eri 2012-1-3
can you give the detail of how to use them in matlab?

请先登录，再进行评论。

Léon
Léon 2012-1-3
Are you talking about prices or returns? Or even something different from that? Regarding returns you should be aware of a leptokurtic distribution of your data. Anyway I wouldn't rely on a normal distribution, but I would definitely use some bootstrapping technique to derive an accurate estimator for the moments.
Linda Lin
Linda Lin 2020-12-12
kstest

类别

在 Help Center 和 File Exchange 中查找有关 Noncentral t Distribution 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by