QQ Plots, Random Sets and Data from a Heavy Tailed Distribution

DOI10.1080/15326340701828308zbMATH Open1136.62007arXivmath/0702551OpenAlexW1987223779MaRDI QIDQ5454672FDOQ5454672

Bikramjit Das, Sidney I. Resnick

Publication date: 31 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Abstract: The QQ plot is a commonly used technique for informally deciding whether a univariate random sample of size n comes from a specified distribution F. The QQ plot graphs the sample quantiles against the theoretical quantiles of F and then a visual check is made to see whether or not the points are close to a straight line. For a location and scale family of distributions, the intercept and slope of the straight line provide estimates for the shift and scale parameters of the distribution respectively. Here we consider the set S_n of points forming the QQ plot as a random closed set in R^2. We show that under certain regularity conditions on the distribution F, S_n converges in probability to a closed, non-random set. In the heavy tailed case where 1-F is a regularly varying function, a similar result can be shown but a modification is necessary to provide a statistically sensible result since typically F is not completely known.

Full work available at URL: https://arxiv.org/abs/math/0702551

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zbMATH Keywords

regular variationHausdorff metricrandom setsQQ plots

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Central limit and other weak theorems (60F05) Graphical methods in statistics (62A09)

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Cited In (11)

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• Variations of Q–Q Plots: The Power of Our Eyes!
• Convergence of persistence diagrams for topological crackle
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• A discussion on mean excess plots
• A simple method of estimation and testing based on \(Q\)-\(Q\) plots
• Detecting a conditional extreme value model
• Positions and QQ plots
• Weak limits for exploratory plots in the analysis of extremes
• A class of semiparametric tail index estimators and its applications
• On random sets for inference in statistics and econometrics

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