Re: [Gretl-devel] Q-Q plot, again
On Sat, 2 Jan 2010, Sven Schreiber wrote:
Allin Cottrell schrieb:
> I'm starting to implement the normal Q-Q plot as a built-in
> command. Question: should we standardize the series to be plotted
> against the normal?
>
> I notice that R does not standardize, but neither does it draw a
> 45-degree line. If you don't standardize but do draw the
> 45-degree line, then you get quite odd-looking results for a
> series that has a substantially non-zero mean and/or a variance
> that differs substantially from 1.
I don't know what R does, but in general I'm afraid I don't quite
understand the question; when you check whether a variable is normally
distributed, it seems clear to me that of course you compare its
empirical distribution to the closest member of the normal family/class.
So you estimate mu and sigma. If that's what is meant, then sure go
ahead and standardize...
There are two options here, which differ only in respect of what
values are shown on the axes: (1) convert the data to z-scores, or
(2) for the x-axis use quantiles of the normal distribution with
mean \hat{mu} and standard deviation \hat{sigma}. I'm not sure if
one of these is more "standard" than the other.
R does neither of these things: the command "qqnorm" plots the
"raw" quantiles of the data against the quantiles of N(0,1).
Allin