m23385 The Quantile Function 1.7 2009/04/16 15:56:35 GMT-5 2009/09/18 13:59:05.798 GMT-5 Paul E Pfeiffer Paul E Pfeiffer perhp@earthlink.net Paul E Pfeiffer Paul E Pfeiffer perhp@earthlink.net Daniel Collins Williamson Daniel Williamson dcwill@cnx.org C. Sidney Burrus C. Sidney Burrus csb@rice.edu Paul E Pfeiffer Paul E Pfeiffer perhp@earthlink.net Independent classes Matlab procedures Normal distribution Properties Random number generator Sampling Simple random variables Weibull distribution Mathematics and Statistics If F is a probability distribution function, the associated quantile function Q is essentially an inverse of F. The quantile function is defined on the unit interval (0,1). For F continuous and strictly increasing at t, then Q(u)=t iff F(t)=u. Thus, if u is a probability value, t=Q(u) is the value of t for which P(X≤t)=u. As an application, one may generate independent classes with prescribed distributions. Matlab procedures are developed for a variety of problems involving quantile functions. en Download Matlab File Suite Catalogue of Useful Matlab Files

The quantile function for a probability distribution has many uses in both the theory and application of probability. If F is a probability distribution function, the quantile function may be used to “construct” a random variable having F as its distributions function. This fact serves as the basis of a method of simulating the “sampling” from an arbitrary distribution with the aid of a random number generator. Also, given any finite class {Xi:1≤i≤n} of random variables, an independent class {Yi:1≤i≤n} may be constructed, with each X_i and associated Y_i having the same (marginal) distribution. Quantile functions for simple random variables may be used to obtain an important Poisson approximation theorem (which we do not develop in this work). The quantile function is used to derive a number of useful special forms for mathematical expectation. General concept—properties, and examples If F is a probability distribution function, the associated quantile function Q is essentially an inverse of F. The quantile function is defined on the unit interval (0,1). For F continuous and strictly increasing at t, then Q(u)=t iff F(t)=u. Thus, if u is a probability value, t=Q(u) is the value of t for which P(X≤t)=u. u = F ( t ) = 1 - e - 3 t 2 t ≥ 0 ⇒ t = Q ( u ) = - ln ( 1 - u ) / 3 The m-function norminv, based on the MATLAB function erfinv (inverse error function), calculates values of Q for the normal distribution. The restriction to the continuous case is not essential. We consider a general definition which applies to any probability distribution function. Definition: If F is a function having the properties of a probability distribution function, then the quantile function for F is given by Q ( u ) = inf { t : F ( t ) ≥ u } ∀ u ∈ ( 0 , 1 ) We note If F(t*)≥u*, then t*≥inf{t:F(t)≥u*}=Q(u*) If F(t*)<u*, then t*<inf{t:F(t)≥u*}=Q(u*) Hence, we have the important property: (Q1)Q(u)≤t iff u≤F(t)∀u∈(0,1). The property (Q1) implies the following important property: (Q2)If U∼ uniform (0,1), then X=Q(U) has distribution function FX=F. To see this, note that FX(t)=P[Q(U)≤t]=P[U≤F(t)]=F(t). Property (Q2) implies that if F is any distribution function, with quantile function Q, then the random variable X=Q(U), with U uniformly distributed on (0,1), has distribution function F. Suppose {Xi:1≤i≤n} is an arbitrary class of random variables with corresponding distribution functions {Fi:1≤i≤n}. Let {Qi:1≤i≤n} be the respective quantile functions. There is always an independent class {Ui:1≤i≤n} iid uniform (0,1) (marginals for the joint uniform distribution on the unit hypercube with sides (0,1)). Then the random variables Yi=Qi(Ui),1≤i≤n, form an independent class with the same marginals as the X_i. Several other important properties of the quantile function may be established.

Graph of quantile function from graph of distribution function,

Q is left-continuous, whereas F is right-continuous. If jumps are represented by vertical line segments, construction of the graph of u=Q(t) may be obtained by the following two step procedure: Invert the entire figure (including axes), then Rotate the resulting figure 90 degrees counterclockwise This is illustrated in . If jumps are represented by vertical line segments, then jumps go into flat segments and flat segments go into vertical segments. If X is discrete with probability p_i at ti,1≤i≤n, then F has jumps in the amount p_i at each t_i and is constant between. The quantile function is a left-continuous step function having value t_i on the interval (bi-1,bi], where b0=0 and bi=∑j=1ipj. This may be stated IfF(ti)=bi,thenQ(u)=tiforF(ti-1)<u≤F(ti) Suppose simple random variable X has distribution X = [ - 2 0 1 3 ] P X = [ 0 . 2 0 . 1 0 . 3 0 . 4 ] Figure 1 shows a plot of the distribution function F_X. It is reflected in the horizontal axis then rotated counterclockwise to give the graph of Q(u) versus u.

Distribution and quantile functions for .

We use the analytic characterization above in developing a number of m-functions and m-procedures. m-procedures for a simple random variable The basis for quantile function calculations for a simple random variable is the formula above. This is implemented in the m-function dquant, which is used as an element of several simulation procedures. To plot the quantile function, we use dquanplot which employs the stairs function and plots X vs the distribution function FX. The procedure dsample employs dquant to obtain a “sample” from a population with simple distribution and to calculate relative frequencies of the various values. X = [-2.3 -1.1 3.3 5.4 7.1 9.8]; PX = 0.01*[18 15 23 19 13 12]; dquanplot Enter VALUES for X X Enter PROBABILITIES for X PX % See for plot of results rand('seed',0) % Reset random number generator for reference dsample Enter row matrix of values X Enter row matrix of probabilities PX Sample size n 10000 Value Prob Rel freq -2.3000 0.1800 0.1805 -1.1000 0.1500 0.1466 3.3000 0.2300 0.2320 5.4000 0.1900 0.1875 7.1000 0.1300 0.1333 9.8000 0.1200 0.1201 Sample average ex = 3.325 Population mean E[X] = 3.305 Sample variance = 16.32 Population variance Var[X] = 16.33

Quantile function for .

Sometimes it is desirable to know how many trials are required to reach a certain value, or one of a set of values. A pair of m-procedures are available for simulation of that problem. The first is called targetset. It calls for the population distribution and then for the designation of a “target set” of possible values. The second procedure, targetrun, calls for the number of repetitions of the experiment, and asks for the number of members of the target set to be reached. After the runs are made, various statistics on the runs are calculated and displayed. X = [-1.3 0.2 3.7 5.5 7.3]; % Population values PX = [0.2 0.1 0.3 0.3 0.1]; % Population probabilities E = [-1.3 3.7]; % Set of target states targetset Enter population VALUES X Enter population PROBABILITIES PX The set of population values is -1.3000 0.2000 3.7000 5.5000 7.3000 Enter the set of target values E Call for targetrun rand('seed',0) % Seed set for possible comparison targetrun Enter the number of repetitions 1000 The target set is -1.3000 3.7000 Enter the number of target values to visit 2 The average completion time is 6.32 The standard deviation is 4.089 The minimum completion time is 2 The maximum completion time is 30 To view a detailed count, call for D. The first column shows the various completion times; the second column shows the numbers of trials yielding those times % Figure 10.6.4 shows the fraction of runs requiring t steps or less

Fraction of runs requiring t steps or less.

m-procedures for distribution functions A procedure dfsetup utilizes the distribution function to set up an approximate simple distribution. The m-procedure quanplot is used to plot the quantile function. This procedure is essentially the same as dquanplot, except the ordinary plot function is used in the continuous case whereas the plotting function stairs is used in the discrete case. The m-procedure qsample is used to obtain a sample from the population. Since there are so many possible values, these are not displayed as in the discrete case. F = '0.4*(t + 1).*(t < 0) + (0.6 + 0.4*t).*(t >= 0)'; % String dfsetup Distribution function F is entered as a string variable, either defined previously or upon call Enter matrix [a b] of X-range endpoints [-1 1] Enter number of X approximation points 1000 Enter distribution function F as function of t F Distribution is in row matrices X and PX quanplot Enter row matrix of values X Enter row matrix of probabilities PX Probability increment h 0.01 % See for plot qsample Enter row matrix of X values X Enter row matrix of X probabilities PX Sample size n 1000 Sample average ex = -0.004146 Approximate population mean E(X) = -0.0004002 % Theoretical = 0 Sample variance vx = 0.25 Approximate population variance V(X) = 0.2664

Quantile function for .

m-procedures for density functions An m- procedure acsetup is used to obtain the simple approximate distribution. This is essentially the same as the procedure tuappr, except that the density function is entered as a string variable. Then the procedures quanplot and qsample are used as in the case of distribution functions. acsetup Density f is entered as a string variable. either defined previously or upon call. Enter matrix [a b] of x-range endpoints [0 3] Enter number of x approximation points 1000 Enter density as a function of t '(t.^2).*(t<1) + (1- t/3).*(1<=t)' Distribution is in row matrices X and PX quanplot Enter row matrix of values X Enter row matrix of probabilities PX Probability increment h 0.01 % See for plot rand('seed',0) qsample Enter row matrix of values X Enter row matrix of probabilities PX Sample size n 1000 Sample average ex = 1.352 Approximate population mean E(X) = 1.361 % Theoretical = 49/36 = 1.3622 Sample variance vx = 0.3242 Approximate population variance V(X) = 0.3474 % Theoretical = 0.3474

Quantile function for .