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Statistics.EmpiricalCDF Function
Statistics | Functions

Empirical CDF.

Pascal
procedure EmpiricalCDF(const Data: TVec; const xCDF: TVec; const yCDF: TVec);
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Parameters
Parameters 
Description 
Data 
Data, sorted in ascending order, with NANs and INFs removed. 
xCDF 
Values at which CDF increases. 
yCDF 
Calculated CDF. 
Description

Calculates empirical cumulative distribution function. Given N ordered data points Y1, Y2, ..., YN, the empirical CDF (ECDF) is defined as: 

E(n)=n(i)/N ,  

where n(i) is the number of points less than Yi and the Yi are ordered from smallest to largest value. This is a step function that increases by 1/N at the value of each ordered data point.

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