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  • Empirical Distribution Function (EDF) in Excel Tutorial

    Diunggah oleh

    NumXL Pro
    1K tayangan6 halaman
    This is the second entry in our ongoing series about empirical or sample distribution. In this tutorial, we will start with the general definition, motivation and applications of EDF, and then use NumXL to carry out our EDF analysis. In an earlier entry, we discussed the histogram as a non-parametric method for the probability distribution inference of a random variable. In this tutorial, we go over the empirical distribution function and estimate its values for the different points in the sample.

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    This is the second entry in our ongoing series about empirical or sample distribution. In this tutorial, we will start with the general definition, motivation and applications of EDF, and then use NumXL to carry out our EDF analysis. In an earlier entry, we discussed the histogram as a non-parametric method for the probability distribution inference of a random variable. In this tutorial, we go over the empirical distribution function and estimate its values for the different points in the sample.

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    Attribution Non-Commercial (BY-NC)
    Unduh sebagai PDF, TXT atau baca online dari Scribd
    Tandai sebagai konten tidak pantas
    1K tayangan6 halaman

    Empirical Distribution Function (EDF) in Excel Tutorial

    Diunggah oleh

    NumXL Pro
    This is the second entry in our ongoing series about empirical or sample distribution. In this tutorial, we will start with the general definition, motivation and applications of EDF, and then use NumXL to carry out our EDF analysis. In an earlier entry, we discussed the histogram as a non-parametric method for the probability distribution inference of a random variable. In this tutorial, we go over the empirical distribution function and estimate its values for the different points in the sample.

    Hak Cipta:

    Attribution Non-Commercial (BY-NC)
    Unduh sebagai PDF, TXT atau baca online dari Scribd
    Tandai sebagai konten tidak pantas
    dari 6

    Tutorial:

    Empirical Distribution Function (EDF)


    Thisisthesecondentryinourongoingseriesaboutempiricalorsampledistribution.Inthistutorial,we willstartwiththegeneraldefinition,motivationandapplicationsofEDF,andthenuseNumXLtocarry outourEDFanalysis. Inanearlierentry,wediscussedthehistogramasanonparametricmethodfortheprobability distributioninferenceofarandomvariable.Inthistutorial,wegoovertheempiricaldistribution functionandestimateitsvaluesforthedifferentpointsinthesample. Forsampledata,wegeneratedadatasetof29randomlygeneratedvaluesfromtheGaussian distribution.

    Background
    Theempiricaldistributionfunction(EDF)orempiricalcdfisastepfunctionthatjumpsby1/Natthe occurrenceofeachobservation: Where

    EDF ( x)

    1 N

    I {x
    i 1

    x}

    I {A} istheindicatorofaneventfunction

    1 xi x I {xi x} 0 xi x

    Bydefinition,theEDFfunctioncomputesthecumulativedistributionoftheunderlyingrandomnumber.

    Why do we care?
    TheEDFestimatesthetrueunderlyingcumulativedensityfunctionofthepointsinthesample;itis virtuallyguaranteedtoconvergewiththetruedistributionasthesamplesizegetssufficientlylarge.

    Process
    First,letsorganizeourinputdata.Wecanstartbyplacingthevaluesofthesampledatainaseparate column.Thesamplemaycontainoneormoremissingvalues.

    EmpiricalDistributionFunction(EDF)Tutorial

    SpiderFinancialCorp,2013

    NowwearereadytoconstructourEDFPlotFirst,selecttheemptycellinyourworksheetwhereyou wishtheoutputtabletobegenerated,thenlocateandclickontheDescriptiveStatisticsiconinthe NumXLtab(ortoolbar).Then,selecttheEmpiricalDistributionFunctionitemfromthedropdown menu.

    TheEDFWizardpopsup.

    EmpiricalDistributionFunction(EDF)Tutorial 2 SpiderFinancialCorp,2013

    Selectthecellsrangeforthevaluesoftheinputvariable. Notes:

    1. Thecellsrangeincludes(optional)theheading(Label)cell,whichwouldbeusedintheoutput tableswhereitreferencesthosevariables. 2. Bydefault,theoutputtablecellsrangeissettothecurrentselectedcellinyourworksheet. 3. Bydefault,theoutputgraphcellsrangeissettothe7cellsrightofthecurrentselectedcellin yourworksheet. Finally,onceweselecttheinputdata(X)cellsrange,theOptionsandMissingValuestabsbecome available(enabled). Next,selecttheOptionstab.

    Initially,thetabissettothefollowingvalues: OverlayNormaldistributionischecked.Thisoptionineffectinstructsthewizardtogeneratea secondcurvefortheGaussiandistributionforcomparisonpurposes.Leavethisoptionchecked.

    Now,clickontheMissingValuestab.

    EmpiricalDistributionFunction(EDF)Tutorial

    SpiderFinancialCorp,2013

    Inthistab,youcanselectanapproachtohandlemissingvaluesinthedataset(Xs).Bydefault,any observationwithmissingvaluewouldbeexcludedfromtheanalysis. Thistreatmentisagoodapproachforouranalysis,soletsleaveitunchanged. Now,clickOKtogeneratetheoutputtables.

    EmpiricalDistributionFunction(EDF)Tutorial 4 SpiderFinancialCorp,2013

    Notes:

    1. ThevaluesofallobservationsaresortedinascendingorderandplacedincolumnE. 2. TheXBarandYBarcolumnscarrynospecialstatisticalmeaning;theyaremerelycomputedto assistusgeneratingastepwisetypeofgraphinExcel. 3. Finally,theequivalentcumulativedensityfunction(CDF)ofthenormaldistributioniscomputed incolumnI. ThegeneratedplotoftheEDFisshownbelow:

    Conclusion
    Inthistutorial,wedemonstratedtheprocesstogenerateanempiricaldistributionfunctioninExcel usingNumXLsaddinfunctions.

    EmpiricalDistributionFunction(EDF)Tutorial

    SpiderFinancialCorp,2013

    Wheredowegofromhere? Toobtaintheprobabilitydensityfunction(PDF),oneneedstotakethederivativeoftheCDF,butthe EDFisastepfunctionanddifferentiationisanoiseamplifyingoperation.Asaresult,theconsequent PDFisveryjaggedandneedsconsiderablesmoothingformanyareasofapplication. Inournextentry,wewilllookatthekerneldensityestimationmethodtoobtaintheprobabilitydensity functionoftheunderlyingrandomprocess.

    EmpiricalDistributionFunction(EDF)Tutorial

    SpiderFinancialCorp,2013

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