Distributions for Probability and Q-Q Plots

Subsections:

You can use the PROBPLOT and QQPLOT statements to request probability and Q-Q plots that are based on the theoretical distributions summarized in Table 4.33.

Table 4.33: Distributions and Parameters

Parameters

Distribution

Density Function

Range

Location

Scale

Shape

Beta

,

Exponential

Gamma

Gumbel

all

Lognormal

(3-parameter)

Normal

all

Generalized

Pareto

Power Function

Rayleigh

Weibull

(3-parameter)

Weibull

(2-parameter)

(known)

You can request these distributions with the BETA, EXPONENTIAL, GAMMA, PARETO, GUMBEL, LOGNORMAL, NORMAL, POWER, RAYLEIGH, WEIBULL, and WEIBULL2 options, respectively. If you do not specify a distribution option, a normal probability plot or a normal Q-Q plot is created.

The following sections provide details for constructing Q-Q plots that are based on these distributions. Probability plots are constructed similarly except that the horizontal axis is scaled in percentile units.

Beta Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the inverse normalized incomplete beta function, is the number of nonmissing observations, and and are the shape parameters of the beta distribution. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot for ALPHA= and BETA= tends to be linear with intercept and slope if the data are beta distributed with the specific density function

where and

• lower threshold parameter

• scale parameter

• first shape parameter

• second shape parameter

Exponential Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the number of nonmissing observations. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot tends to be linear with intercept and slope if the data are exponentially distributed with the specific density function

where is a threshold parameter, and is a positive scale parameter.

Gamma Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the inverse normalized incomplete gamma function, is the number of nonmissing observations, and is the shape parameter of the gamma distribution. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot for ALPHA= tends to be linear with intercept and slope if the data are gamma distributed with the specific density function

where

• threshold parameter

• scale parameter

• shape parameter

Gumbel Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the number of nonmissing observations. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot tends to be linear with intercept and slope if the data are Gumbel distributed with the specific density function

• location parameter

• scale parameter

Lognormal Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the inverse cumulative standard normal distribution, is the number of nonmissing observations, and is the shape parameter of the lognormal distribution. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot for SIGMA= tends to be linear with intercept and slope if the data are lognormally distributed with the specific density function

where

• threshold parameter

• scale parameter

• shape parameter

See Example 4.26 and Example 4.33.

Normal Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the inverse cumulative standard normal distribution and is the number of nonmissing observations. In a probability plot, the horizontal axis is scaled in percentile units.

The point pattern on the plot tends to be linear with intercept and slope if the data are normally distributed with the specific density function

where is the mean and is the standard deviation ().

Generalized Pareto Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile () or (), where is the number of nonmissing observations and is the shape parameter of the generalized Pareto distribution. The horizontal axis is scaled in percentile units.

The point pattern on the plot for ALPHA= tends to be linear with intercept and slope if the data are generalized Pareto distributed with the specific density function

where threshold parameter scale parameter shape parameter

Power Function Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the inverse normalized incomplete beta function, is the number of nonmissing observations, is one shape parameter of the beta distribution, and the second shape parameter, . The horizontal axis is scaled in percentile units.

The point pattern on the plot for ALPHA= tends to be linear with intercept and slope if the data are power function distributed with the specific density function

where

• threshold parameter

• shape parameter

• shape parameter

Rayleigh Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the number of nonmissing observations. The horizontal axis is scaled in percentile units.

The point pattern on the plot tends to be linear with intercept and slope if the data are Rayleigh distributed with the specific density function

where is a threshold parameter, and is a positive scale parameter.

Three-Parameter Weibull Distribution

To create the plot, the observations are ordered from smallest to largest, and the th ordered observation is plotted against the quantile , where is the number of nonmissing observations, and is the Weibull distribution shape parameter. In a probability plot, the horizontal axis is scaled in percentile units.

The pattern on the plot for C= tends to be linear with intercept and slope if the data are Weibull distributed with the specific density function

where

• threshold parameter

• scale parameter

• shape parameter

See Example 4.34.

Two-Parameter Weibull Distribution

To create the plot, the observations are ordered from smallest to largest, and the log of the shifted th ordered observation , denoted by , is plotted against the quantile , where is the number of nonmissing observations. In a probability plot, the horizontal axis is scaled in percentile units.

Unlike the three-parameter Weibull quantile, the preceding expression is free of distribution parameters. Consequently, the C= shape parameter is not mandatory with the WEIBULL2 distribution option.

The pattern on the plot for THETA= tends to be linear with intercept and slope if the data are Weibull distributed with the specific density function

where

• known lower threshold

• scale parameter

• shape parameter

See Example 4.34.