EmpiricalCDF Routine

Summary

Calculates empirical CDF.

Declaration

Procedure EmpiricalCDF(Data: TVec; xCDF, yCDF: TVec);

Parameter	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.