Namespaces
Variants
Actions

Difference between revisions of "Quantile"

From Encyclopedia of Mathematics
Jump to: navigation, search
m (MR/ZBL numbers added)
(MSC|60-01|62-01)
Line 1: Line 1:
 +
{{MSC|60-01|62-01}}
 +
 
One of the numerical characteristics of a [[Probability distribution|probability distribution]]. For a real random variable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762701.png" /> with distribution function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762702.png" />, by a quantile of order <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762704.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762705.png" />, one means the number <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762706.png" /> for which <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762707.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762708.png" />. If <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762709.png" /> is a continuous strictly-monotone function, then <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627010.png" /> is the unique solution of the equation <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627011.png" />, that is, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627012.png" /> is the function of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627013.png" /> inverse to the function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627014.png" />. If <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627015.png" /> is continuous and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627016.png" />, then the probability of the inequality <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627017.png" />, is equal to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627018.png" />. The quantile <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627019.png" /> is the [[Median (in statistics)|median (in statistics)]] of the random variable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627020.png" />. The quantiles <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627021.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627022.png" /> are called the quartiles, and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627023.png" />, the deciles. The values of the quantiles for suitable values of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627024.png" /> enable one to form an idea about the distribution function.
 
One of the numerical characteristics of a [[Probability distribution|probability distribution]]. For a real random variable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762701.png" /> with distribution function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762702.png" />, by a quantile of order <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762704.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762705.png" />, one means the number <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762706.png" /> for which <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762707.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762708.png" />. If <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q0762709.png" /> is a continuous strictly-monotone function, then <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627010.png" /> is the unique solution of the equation <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627011.png" />, that is, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627012.png" /> is the function of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627013.png" /> inverse to the function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627014.png" />. If <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627015.png" /> is continuous and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627016.png" />, then the probability of the inequality <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627017.png" />, is equal to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627018.png" />. The quantile <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627019.png" /> is the [[Median (in statistics)|median (in statistics)]] of the random variable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627020.png" />. The quantiles <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627021.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627022.png" /> are called the quartiles, and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627023.png" />, the deciles. The values of the quantiles for suitable values of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/q/q076/q076270/q07627024.png" /> enable one to form an idea about the distribution function.
  

Revision as of 08:22, 8 April 2012

2020 Mathematics Subject Classification: Primary: 60-01 Secondary: 62-01 [MSN][ZBL]

One of the numerical characteristics of a probability distribution. For a real random variable with distribution function , by a quantile of order , , one means the number for which , . If is a continuous strictly-monotone function, then is the unique solution of the equation , that is, is the function of inverse to the function . If is continuous and , then the probability of the inequality , is equal to . The quantile is the median (in statistics) of the random variable . The quantiles and are called the quartiles, and , the deciles. The values of the quantiles for suitable values of enable one to form an idea about the distribution function.

For example, for the normal distribution (see Fig.)

the graph of the function can be drawn from the deciles: ; ; ; ; ; ; ; ; .

Figure: q076270a

The quartiles of the normal distribution are and .


Comments

References

[a1] L. Breiman, "Statistics" , Houghton Mifflin (1973) pp. 231ff MR0359089 Zbl 0289.62001
[a2] H. Cramér, "Mathematical methods of statistics" , Princeton Univ. Press (1946) pp. 181; 367 MR0016588 Zbl 0063.01014
How to Cite This Entry:
Quantile. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Quantile&oldid=23650
This article was adapted from an original article by V.V. Senatov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article