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New in Mathematica 9Enhanced Probability & Statistics

Fit Nonparametric and Parametric Distributions to Weighted Data 

Generate random reals from to and weight them according to the PDF of a NormalDistribution using WeightedData.
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Create a WeightedData object and compute its mean and variance.

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Fit to a NormalDistribution using maximum likelihood estimation.

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Use HistogramDistribution to create a weighted histogram.

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