1. Use of Quantile Functions in Data Analysis

2. In general, Quantile Functions (sometimes referred to as Inverse Density Functions or Percent Point Functions) return the Value X at which P(X) = [specified cumulative probability] given that particular distribution.

3. Recall the normal distribution

4. So for the specified cumulative probability of 0.025, the value of X turns out to be -1.96. In other words, Ф(-1.96) = 0.025, so Ф -1 (0.025) =-1.96 Notice, then, that Ф -1 is producing the quantile function, Q

6. Idealised Samples i – ½ n i = 1,2,…….n Note that these are evenly spaced between 0 and 1 p i = These are produced by first defining a sequence of n probability points using

7. For example, for n = 20, we have p 1, p 2, ……….p 20 equal to 0.025, 0.075, ………… 0.975 Probability points may be produced with the R function ppoints:

9. Now suppose that a distribution has quantile function Q. Then, if the random variable Z has qf Q, from the original definition, P(Z ≤ Q(p i ) )= p i i =1….. n Hence, Q(p 1 )…………….Q(p n ) may be regarded as an idealised sample of size n.

10. The Uniform Distribution 0 1 1

11. 0 1 1 Area 0.2 The quantile function is easy here e.g. Q(0.2)=0.2

12. The Uniform Distribution 0 1 1 Area p p In general, Q(p)=p

13. Hence p 1 …………. p n may be regarded as an idealised sample of size n from the U(0, 1) distribution.

14. The Normal Distribution We have already seen that the normal distribution has quantile function given by Ф -1. Thus an idealised N(0, 1) sample of size 20, will be Ф -1 (0.025), Ф -1 (0.075), Ф -1 (0.125), …..

15. In R the result is found with qnorm

16. A histogram can be plotted using hist(z)

17. Exponential Distribution The Exp(1) distribution has quantile function Q given by Q(p) = - ln(1 - p) (exercise!) In R it is given by the function qexp. Thus an idealised Exp(1) sample of size 20, together with its histogram are as follows:

20. Empirical Quantile Functions Suppose that we have a set of n observations y 1, …… y n of a variable y. Let y (1) ≤......... ≤ y (n) be their order statistics. Analogously to earlier work we define the empirical quantile function Q e of these data by Q e (p i ) = y ( i ) with linear interpolation for other values of p in the interval (0, 1).

21. Thus, for any p, Q e (p) is the essentially the value of the variable, y, below which a fraction, p, of the observations lie. Example: the three quartiles of the distribution of the data are given by Q e (1/4), Q e (1/2) and Q e (3/4).

22. Example Maximum daily ozone concentrations. The R data frame ozone is made available on the module web pages. It gives maximum daily ozone concentrations, in parts per billion, measured at Stamford, Connecticut and Yonkers, New York, during the period May - September one year. Data are given only for the 132 days (out of a total of 152) on which readings were successfully obtained at both locations.

27. The sorted Stamford data are given by

28. The R code > hist(stamford, xlab="ozone concentration", main="Stamford ozone concentrations") > plot(density(stamford), main=" density estimate for Stamford ozone concentrations ") produces the histogram and (kernel) density estimate shown in the next slides. (For details of the latter, see 5.6 of Venables and Ripley (2002).)

31. A simple summary is given by > summary(stamford) Min. 1st Qu. Median Mean 3rd Qu. Max. 14.00 50.50 80.00 89.87 119.80 240.00 while much the same is achieved with the use of the R (empirical) quantile function, which by default evaluates this at p = (0.00, 0.25, 0.50, 0.75, 1.00) > quantile(stamford) 0% 25% 50% 75% 100% 14.00 50.50 80.00 119.75 240.00

32. Both the histogram and the summaries show the data to be quite positively skewed. This is quite typical of data constrained to be positive. We can specify any vector of points at which to evaluate the quantile function: > p = seq(0,1,0.1) > p [1]0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0

34. Q-Q Plots We wish to investigate whether observations y 1 ……. y n may reasonably be regarded as a random sample from some theoretical distribution. A Q-Q plot compares the empirical quantile function Q e of the data with the theoretical quantile function Q of the distribution.

35. We plot y (i) (= Q e (p i )) against Q(p i ) for the probability points p 1,p 2 etc. as defined earlier. If the data follow an approximately straight line with slope 1 and intercept 0, the observed values are said to be compatible with the theoretical distribution. i.e. y (i) ≈ Q(p i )

36. Refinement If the data do not lie on the specific line just mentioned, but instead lie on a line with slope b and intercept a, i.e. y (i) ≈ a + bQ(p i ) This indicates compatibility with the appropriate distribution scaled by b and shifted by a.

37. For example if Q is the quantile function of the N(0,1) distribution, then the relation suggests compatibility with the N(a,b 2 ) distribution.

38. Stamford Ozone Concentrations We check for normality. A normal Q-Q plot compares empirical qf of the data with the qf of the N(0,1) distribution. The R function qqnorm constructs the plot.

41. The function qqline adds the straight line y = a +bx corresponding to the normal distribution N(a,b 2 ) whose lower and upper quartiles match those of the data. (This is a resistant fit, unaffected by one or two extreme observations).

43. The lack of linearity in the plotted data suggests that they are not well modelled by a normal distribution. Rather, the convex shape indicates positive skewness (as was seen in the histogram). We investigate whether a transformation would help. A check is carried out as to whether the square roots of the Stamford ozone concentrations can be modelled by a normal distribution.

44. (Notice that, when using R, x^y gives the y th power of x, and, of course, a power of 0.5 gives a square root).

46. The plotted data are reasonably well fitted by the straight line which has slope 2.844 and intercept 9.0. Thus the data are reasonably well modelled by the N(9, 2.844 2 ) distribution (whose lower and upper quartiles match those of the data). Note that the sample mean and standard deviation are 9.1 and 2.715 respectively.

47. Note: The equation of the straight line can be obtained by inspection, or more accurately by using the two points that it is defined by, i.e. (Q(1/4), Q e (1/4)), (Q(3/4), Q e (3/4)) Appropriate R commands give these as (-0.675, 7.106) and (0.675, 10.940)

48. Example The R vector abbey in the package MASS gives 31 determinations of nickel content (μg g -1 ) in a Canadian syenite rock.

49. We check whether the data are reasonably modelled by an exponential distribution. There is no predefined function in R to construct an exponential Q-Q plot, so we have to work from first principles.

50. qexp(ppoints(31)) gives the theoretical quantile values at 31 probability points. sort(abbey) gives the sorted experimental values

51. The following command produces a Q-Q plot with axes labelled accordingly.

53. If we ignore the highest observation, the data appear to be reasonably compatible with an exponential distribution with mean around 12.5 (exp(0.08)).

55. However, the probability that the highest of 31 independent observations from an exponential distribution of mean 12.5 is as great as 125 is only 0.0014, so there must be considerable doubt about the suitability of an exponential model here. A further possibility is that some transformation of the data may be modelled by a normal distribution. Try this out in the practicals.

56. Boxplots These are useful for comparing distributions of the same variable. The R code: produces the following boxplot

58. Recall that the lower and upper ends of each box give the first and third quartiles of the corresponding distribution and the centre line indicates the median.