Does anybody know if there is a tool to compute PDF from CDF in Python on arbitrary grid and for CDF of arbitrary number of variables.
PDF - probability distribution function CDF - cumulative distribution function
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There's probably some obscure Scipy route, but I have no idea what it would be. – bcdan Aug 06 '15 at 01:24
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The PDF is the derivative of the CDF curve. Use any tool that calculates derivatives or write a one line solution yourself. – casey Aug 06 '15 at 04:48
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My understanding PDF is mixed martial derivative of CDF. If we have 5 variables, the numerical error in differentiation is going to be overwhelming. am I missing something? The only solution I see is through computing differences in appropriate areas. It is easy to visualize in 2 and 3 dimensions, but in higher dimensions it is a bit difficult to generalize. – user1700890 Aug 06 '15 at 12:05