R Programming/Probability Distributions

This page review the main probability distributions and describe the main R functions to deal with them.

R has lots of probability functions.

  • r is the generic prefix for random variable generator such as runif(), rnorm().
  • d is the generic prefix for the probability density function such as dunif(), dnorm().
  • p is the generic prefix for the cumulative density function such as punif(), pnorm().
  • q is the generic prefix for the quantile function such as qunif(), qnorm().

Discrete distributions edit

Benford Distribution edit

The Benford distribution is the distribution of the first digit of a number. It is due to Benford 1938[1] and Newcomb 1881[2].

> library(VGAM)
> dbenf(c(1:9))
[1] 0.30103000 0.17609126 0.12493874 0.09691001 0.07918125 0.06694679 0.05799195 0.05115252 0.04575749

Bernoulli edit

We can draw from a Bernoulli using sample(), runif() or rbinom() with size = 1.

> n <- 1000
> x <- sample(c(0,1), n, replace=T)
> x <- sample(c(0,1), n, replace=T, prob=c(0.3,0.7))
> x <- runif(n) > 0.3
> x <- rbinom(n, size=1, prob=0.2)

Binomial edit

We can sample from a binomial distribution using the rbinom() function with arguments n for number of samples to take, size defining the number of trials and prob defining the probability of success in each trial.

> x <- rbinom(n=100,size=10,prob=0.5)

Hypergeometric distribution edit

We can sample n times from a hypergeometric distribution using the rhyper() function.

> x <- rhyper(n=1000, 15, 5, 5)

Geometric distribution edit

The geometric distribution.

> N <- 10000
> x <- rgeom(N, .5)
> x <- rgeom(N, .01)

Multinomial edit

The multinomial distribution.

> sample(1:6, 100, replace=T, prob= rep(1/6,6))

Negative binomial distribution edit

The negative binomial distribution is the distribution of the number of failures before k successes in a series of Bernoulli events.

> N <- 100000
> x <- rnbinom(N, 10, .25)

Poisson distribution edit

We can draw n values from a Poisson distribution with a mean set by the argument lambda.

> x <- rpois(n=100, lambda=3)

Zipf's law edit

The distribution of the frequency of words is known as Zipf's Law. It is also a good description of the distribution of city size[3]. dzipf() and pzipf() (VGAM)

> library(VGAM)
> dzipf(x=2, N=1000, s=2)

Continuous distributions edit

Beta and Dirichlet distributions edit


Cauchy edit

We can sample n values from a Cauchy distribution with a given location parameter   (default is 0) and scale parameter   (default is 1) using the rcauchy() function.

> x <- rcauchy(n=100, location=0, scale=1)

Chi Square distribution edit

Quantile of the Chi-square distribution (  distribution)

> qchisq(.95,1)
[1] 3.841459
> qchisq(.95,10)
[1] 18.30704
> qchisq(.95,100)
[1] 124.3421

Exponential edit

We can sample n values from a exponential distribution with a given rate (default is 1) using the rexp() function

> x <- rexp(n=100, rate=1)

Fisher-Snedecor edit

We can draw the density of a Fisher distribution (F-distribution) :

> par(mar=c(3,3,1,1))
> x <- seq(0,5,len=1000)
> plot(range(x),c(0,2),type="n")
> grid()
> lines(x,df(x,df1=1,df2=1),col="black",lwd=3)
> lines(x,df(x,df1=2,df2=1),col="blue",lwd=3)
> lines(x,df(x,df1=5,df2=2),col="green",lwd=3)
> lines(x,df(x,df1=100,df2=1),col="red",lwd=3)
> lines(x,df(x,df1=100,df2=100),col="grey",lwd=3)
> legend(2,1.5,legend=c("n1=1, n2=1","n1=2, n2=1","n1=5, n2=2","n1=100, n2=1","n1=100, n2=100"),col=c("black","blue","green","red","grey"),lwd=3,bty="n")

Gamma edit

We can sample n values from a gamma distribution with a given shape parameter and scale parameter   using the rgamma() function. Alternatively a shape parameter and rate parameter   can be given.

> x <- rgamma(n=10, scale=1, shape=0.4)
> x <- rgamma(n=100, scale=1, rate=0.8)

Levy edit

We can sample n values from a Levy distribution with a given location parameter   (defined by the argument m, default is 0) and scaling parameter (given by the argument s, default is 1) using the rlevy() function.

> x <- rlevy(n=100, m=0, s=1)

Log-normal distribution edit

We can sample n values from a log-normal distribution with a given meanlog (default is 0) and sdlog (default is 1) using the rlnorm() function

> x <- rlnorm(n=100, meanlog=0, sdlog=1)

Normal and related distributions edit

We can sample n values from a normal or gaussian Distribution with a given mean (default is 0) and sd (default is 1) using the rnorm() function

> x <- rnorm(n=100, mean=0, sd=1)

Quantile of the normal distribution

> qnorm(.95)
[1] 1.644854
> qnorm(.975)
[1] 1.959964
> qnorm(.99)
[1] 2.326348
  • The mvtnorm package includes functions for multivariate normal distributions.
    • rmvnorm() generates a multivariate normal distribution.
> library(mvtnorm)
> sig <- matrix(c(1, 0.8, 0.8, 1), 2, 2)
> r <- rmvnorm(1000, sigma = sig)
> cor(r) 
          [,1]      [,2]
[1,] 1.0000000 0.8172368
[2,] 0.8172368 1.0000000

Pareto Distributions edit

  • Generalized Pareto dgpd() in evd
  • dpareto(), ppareto(), rpareto(), qpareto() in actuar
  • The VGAM package also has functions for the Pareto distribution.

Student's t distribution edit

Quantile of the Student t distribution

> qt(.975,30)
[1] 2.042272
> qt(.975,100)
[1] 1.983972
> qt(.975,1000)
[1] 1.962339

The following lines plot the .975th quantile of the t distribution in function of the degrees of freedom :

curve(qt(.975,x), from = 2 , to = 100, ylab = "Quantile 0.975 ", xlab = "Degrees of freedom", main = "Student t distribution")
abline(h=qnorm(.975), col = 2)

Uniform distribution edit

We can sample n values from a uniform distribution (also known as a rectangular distribution] between two values (defaults are 0 and 1) using the runif() function

> runif(n=100, min=0, max=1)

Weibull edit

We can sample n values from a Weibull distribution with a given shape and scale parameter   (default is 1) using the rweibull() function.

> x <- rweibull(n=100, shape=0.5, scale=1)

Extreme values and related distribution edit

plogis, qlogis, dlogis, rlogis

  • Frechet dfrechet() evd
  • Generalized Extreme Value dgev() evd
  • Gumbel dgumbel() evd
  • Burr, dburr, pburr, qburr, rburr in actuar

Distribution in circular statistics edit

  • Functions for circular statistics are included in the CircStats package.
    • dvm() Von Mises (also known as the nircular normal or Tikhonov distribution) density function
    • dtri() triangular density function
    • dmixedvm() Mixed Von Mises density
    • dwrpcauchy() wrapped Cauchy density
    • dwrpnorm() wrapped normal density.

See also edit

  • Packages VGAM, SuppDists, actuar, fBasics, bayesm, MCMCpack

References edit

  1. Benford, F. (1938) The Law of Anomalous Numbers. Proceedings of the American Philosophical Society, 78, 551–572.
  2. Newcomb, S. (1881) Note on the Frequency of Use of the Different Digits in Natural Numbers. American Journal of Mathematics, 4, 39–40.
  3. Gabaix, Xavier (August 1999). "Zipf's Law for Cities: An Explanation". Quarterly Journal of Economics 114 (3): 739–67. doi:10.1162/003355399556133. ISSN 0033-5533. http://pages.stern.nyu.edu/~xgabaix/papers/zipf.pdf.
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