I am looking for a free CAS (Computer Algebra System) that is most able to do mathematical statistics. I thought of SAGE, but it doesn't seem to be very powerful.
It can't derive t-distribution : http://ask.sagemath.org/question/1485/student-t-pdf
And it seems to have trouble calculating even the mean and the variance of Laplace distribution!
Here's sage input/output.
INPUT:
def f1(x,mu,sigma):
return 1/sqrt(2*pi*sigma^2)*exp(-1/2*((x-mu)/sigma)^2)
def f2(x,mu,sigma):
return 1/sqrt(2*sigma^2)*exp(-sqrt(2)*abs((x-mu)/sigma))
var("mu sigma")
integral(x*f2(x,mu,sigma), x, -oo,oo)
OUTPUT:
1/2*sqrt(2)*integrate(x*e^(-sqrt(2)*abs(-mu + x)/sigma), x, -Infinity,
+Infinity)/sigma
INPUT:
integral(x*f1(x,mu,sigma), x, -oo,oo)
OUTPUT:
mu
INPUT:
integral((x-mu)^2*f2(x,mu,sigma), x, -oo,oo)
OUTPUT:
1/2*sqrt(2)*integrate((mu - x)^2*e^(-sqrt(2)*abs(-mu + x)/sigma), x,
-Infinity, +Infinity)/sigma
INPUT:
integral((x-mu)^2*f1(x,mu,sigma), x, -oo,oo)
OUTPUT:
sigma^2
Does anyone know free CAS which can calculate t-distribution and the mean and the variance of Laplace distribution with parameters unkown?
assume(sigma>0)before computing the integral. Tried it on www.sagenb.com, and it works. Edit: also, it'll be hard to find a more complete free CAS than Maxima (which is what Sage uses). – mogron Jul 10 '12 at 9:17