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I was wondering if there is a way to compute quantiles numerically for distributions were the integral of the PDF is really complicated

Any ideas?

Ferdi
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  • Monte Carlo methods is a possible keyword. – Xi'an Jun 19 '18 at 11:00
  • Sometimes the quantile function is really simple even when the original CDF is complicated. Many times, complication doesn't matter much because a good root-finding algorithm may need very few function evaluations. Other times you can find (in the numerical analysis and statistics literature of the 1960s and 1970s) excellent approximate algorithms. Thus, in any particular case it pays to focus on the details: a general answer would amount to a textbook of numerical analysis. Do you have a particular distribution in mind? – whuber Jun 19 '18 at 13:31
  • Related: https://stats.stackexchange.com/questions/250046/how-to-calculate-quartiles-and-other-percentiles, https://stats.stackexchange.com/questions/188843/how-to-calculate-quantiles and search ... – kjetil b halvorsen Jan 02 '24 at 04:54

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