empirical distribution function
Let be random variables with realizations , . The empirical distribution function based on is
where is the indicator function (or characteristic function) and . Note that each indicator function is itself a random variable.
The empirical function can be alternatively and equivalently defined by using the order statistics of as:
where is the realization of the random variable with outcome .
Title | empirical distribution function |
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Canonical name | EmpiricalDistributionFunction |
Date of creation | 2013-03-22 14:33:27 |
Last modified on | 2013-03-22 14:33:27 |
Owner | CWoo (3771) |
Last modified by | CWoo (3771) |
Numerical id | 7 |
Author | CWoo (3771) |
Entry type | Definition |
Classification | msc 62G30 |