Lect11_2700_s09

Lect11_2700_s09 - ENGRD 2700 Basic Engineering Probability...

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Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 1 of 23 Go Back Full Screen Close Quit ENGRD 2700 Basic Engineering Probability and Statistics Lecture 11: Probability Plotting; Joint Densities David S. Matteson School of Operations Research and Information Engineering Rhodes Hall, Cornell University Ithaca NY 14853 USA [email protected] February 25, 2009

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Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 2 of 23 Go Back Full Screen Close Quit 1. Probability Plots; QQ-plots. Problem: Bunch of numbers z 1 , . . . , z n dropped on your desk. Hope these represent a sample from some population with a numerical characteristic such that the percent- age of the population with the characteristic can be described by f ( x ). In other words : hope the numbers are realizations of iid rv’s Z 1 , . . . , Z n with common density f ( x ) and dis- tribution function F ( x ). How do we guess what f ( x ) is?? Histograms Probability plot or QQ-plot
Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 3 of 23 Go Back Full Screen Close Quit Prelude: Sample cdf Suppose Z 1 , . . . , Z n iid rv’s F ( x ). Fix x and define the random quantity called the empirical (cumulative) distri- bution function or sample distribution function ˆ F n ( x ) = 1 n n X i =1 1 [ Z i x ] = % of the X ’s x . For fixed x , n ˆ F n ( x ) b ( k ; n, p = F ( x ) ) . So as with the binomial discussion of the CLT ˆ F n ( x ) d F ( x ) + c X 0 , 1 n . So ˆ F n ( x ) is close to F ( x ) for each x . Hope ˆ F n ( p ) is close to F ( p ).

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Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 4 of 23 Go Back Full Screen Close Quit BUT: F ( p ) are the percentiles of the distribution F . ˆ F n ( x ) is not continuous, strictly increasing so how do we define ˆ F n ( p )?
Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 5 of 23 Go Back Full Screen Close Quit Figure 1: CDF for 3 points.

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Probability Plots; QQ- . . . Heavy tails? Title Page JJ II J I Page 6 of 23 Go Back Full Screen Close Quit The probability plot or QQ plot: Roughly, we plot ( ˆ F n ( p ) , F ( p ) ) , 0 < p < 1 . If we have guessed correctly about the true F , this should be approximately a straight line.
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