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

DOI10.1080/15326340701828308MaRDI QIDQ5454672zbMATH OpenOpenAlexFDO

Authors Bikramjit Das, Sidney I. Resnick

Publication date 31 March 2008

Published in Stochastic Models (Search for Journal in Brave)

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

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)

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.

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Cited in

(13)

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• Detecting a conditional extreme value model
• Positions and QQ plots
• A simple method of estimation and testing based on \(Q\)-\(Q\) plots
• Weak limits for exploratory plots in the analysis of extremes
• A universal QQ-plot for continuous non-homogeneous populations
• Beyond Q-Q plots: some new graphical tools for the assessment of distributional assumptions and the tail behavior of the data
• A class of semiparametric tail index estimators and its applications
• On random sets for inference in statistics and econometrics

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