[R] Computing a CDF or many quantiles
Kevin S. Van Horn
kvanhorn at ksvanhorn.com
Thu Sep 11 01:03:51 CEST 2003
Your method looks like a naive reimplementation of integration, and
won't work so well for distributions that have the great majority of the
probability mass concentrated in a small fraction of the sample space.
I was hoping for something that would retain the adaptability of
integrate().
(Ted Harding) wrote:
>If that's all you want to do, then a very straightfoward approach should
>be OK. I illustrate with a truncated normal distribution on [-1,1]:
>
> x <- (-1)+(0.001*(0:2000));pdf<-dnorm(x); pdf<-pdf/(sum(pdf)*0.001)
> CDF<-cumsum(pdf)*0.001
> plot(x,pdf,ylim=c(0,1),type="l");lines(x,CDF)
>
>Quantiles:
> N=10;e<-CDF[1];
> for(i in (0:10)){
> j<-max(which(CDF<=i/N+e));print(c(x[j],CDF[j]))
> }
>
>
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