Quantile-Quantile (q-q) Plots
Author(s)
David
Scott
Prerequisites
Histograms,Distributions,Percentiles,Describing
Bivariate Data,Normal
Distributions
Introduction
The quantile-quantile or q-q plot is an exploratory graphical
device used to check the validity of a distributional assumption
for a data set. In general, the basic idea is to compute the
theoretically expected value for each data point based on the
distribution in question. If the data indeed follow the assumed
distribution, then the points on the q-q plot will fall
approximately on a straight line.
Before delving into the details of q-q plots, we first describe two
related graphical methods for assessing distributional assumptions:
the histogram and the cumulative distribution function
(CDF). As will be seen, q-q plots are more general than
these alternatives.
Assessing Distributional Assumptions
As an example, consider data measured from a physical device such
as the spinner depicted in Figure 1. The red arrow is spun around
the center, and when the arrow stops spinning, the number between 0
and 1 is recorded. Can we determine if the spinner is fair?
Figure 1. A physical device that gives samples from a uniform
distribution.
If the spinner is fair, then these numbers should follow a uniform
distribution. To investigate whether the spinner is fair, spin the
arrow n times, and record the measurements by {μ1,
μ2, ..., μn}. In this example, we collect n =
100 samples. The histogram provides a useful visualization of these
data. In Figure 2, we display three different histograms on a
probability scale. The histogram should be flat for a uniform
sample, but the visual perception varies depending on whether the
histogram has 10, 5, or 3 bins. The last histogram looks flat,
but the other two histograms are not obviously flat. It is not
clear which histogram we should base our conclusion on.
Figure 2. Three histograms of a sample of 100 uniform points.
Alternatively, we might use the cumulative distribution function
(CDF), which is denoted by F(μ). The CDF gives the probability that
the spinner gives a value less than or equal to μ, that is, the
probability that the red arrow lands in the interval [0, μ]. By
simple arithmetic, F(μ) = μ, which is the diagonal straight line y
= x. The CDF based upon the sample data is called the empirical
CDF (ECDF), is denoted by , and is
defined to be the fraction of the data less than or equal to μ;
that is,
In general, the ECDF takes on a ragged staircase
appearance. For the spinner sample analyzed in Figure 2, we computed the ECDF
and CDF, which are displayed in Figure 3. In the left frame, the
ECDF appears close to the line y = x, shown in the middle frame. In
the right frame, we overlay these two curves and verify that they
are indeed quite close to each other. Observe that we do not need
to specify the number of bins as with the histogram.
Figure 3. The empirical and theoretical cumulative distribution
functions of a sample of 100 uniform points.
q-q plot for uniform data
The q-q plot for uniform data is very similar to the empirical CDF
graphic, except with the axes reversed. The q-q plot provides a visual comparison of the sample
quantiles to the corresponding theoretical quantiles. In
general, if the points in a q-q plot depart from a straight line,
then the assumed distribution is called into question.
Here we define the qth quantile of a batch of n numbers as a number
ξqsuch that a fraction q x n of the sample is less than
ξq, while a fraction (1 - q) x n of the sample is
greater than ξq. The best known quantile is the median,
ξ0.5, which is located in the middle of the sample.
Consider a small sample of 5 numbers from the
spinner: μ1 =
0.41, μ2 =0.24,
μ3 =0.59,
μ4 =0.03,and
μ5 =0.67.
Based upon our description of the spinner, we expect a uniform
distribution to model these data. If the sample data were
“perfect,” then on average there would be an observation in the
middle of each of the 5 intervals: 0 to .2, .2 to .4, .4 to .6, and
so on. Table 1 shows the 5 data points (sorted in ascending order)
and the theoretically expected value of each based on the
assumption that the distribution is uniform (the middle of the
interval).
Table 1. Computing the Expected Quantile Values.
Data (μ)
Rank (i)
Middle of the ith Interval
.03
.24
.41
.59
.67
1
2
3
4
5
.1
.3
.5
.7
.9
The theoretical and empirical CDFs are shown in Figure 4 and the
q-q plot is shown in the left frame of Figure
5.
Figure 4. The theoretical and empirical CDFs of a small sample of 5
uniform points, together with the expected values of the 5 points
(red dots in the right frame).
In general, we consider the full set of sample quantiles to be the
sorted data values
μ(1) <
μ(2) <
μ(3) < ··· <
μ(n-1) <
μ(n) ,
where the parentheses in the subscript indicate the data have been
ordered. Roughly speaking, we expect the first ordered value to be
in the middle of the interval (0, 1/n), the second to be in the
middle of the interval (1/n, 2/n), and the last to be in the middle
of the interval ((n - 1)/n, 1). Thus, we take as the theoretical
quantile the value
where q corresponds to the ith ordered sample value. We
subtract the quantity 0.5 so that we are exactly in the middle of
the interval ((i - 1)/n, i/n). These ideas are depicted
in the right frame of Figure 4 for our small sample of size n =
5.
We are now prepared to define the q-q plot precisely. First, we
compute the n expected values of the data, which we pair with the n
data points sorted in ascending order. For the uniform density,
the q-q plot is composed of the n ordered pairs
This definition is slightly different from the ECDF, which includes
the points (u(i), i/n). In the left frame of Figure 5,
we display the q-q plot of the 5 points in Table 1. In the right
two frames of Figure 5, we display the q-q plot of the same batch
of numbers used in Figure 2. In the final frame, we add the
diagonal line y = x as a point of reference.
Figure 5. (Left) q-q plot of the 5 uniform points. (Right) q-q plot
of a sample of 100 uniform points.
The sample size should be taken into account when judging how close
the q-q plot is to the straight line. We show two other uniform
samples of size n = 10 and n = 1000 in Figure 6. Observe that the
q-q plot when n = 1000 is almost identical to the line y = x, while
such is not the case when the sample size is only n = 10.
Figure 6. q-q plots of a sample of 10 and 1000 uniform points.
In Figure 7, we show the q-q plots of two random samples that are
not uniform. In both examples, the sample quantiles match the
theoretical quantiles only at the median and at the extremes.
Both samples seem to be symmetric around
the median. But the data in the left frame are closer to the median
than would be expected if the data were uniform. The data in the
right frame are further from the median than would be expected if
the data were uniform.
Figure 7. q-q plots of two samples of size 1000 that are not
uniform.
In fact, the data were generated in the R language from beta
distributions with parameters a = b = 3 on the left and a = b =0.4
on the right. In Figure 8 we display histograms of these two data
sets, which serve to clarify the true shapes of the densities.
These are clearly non-uniform.
Figure 8. Histograms of the two non-uniform data sets.
q-q
plot for normal data
The definition of the q-q plot may be extended to any continuous
density. The q-q plot will be close to a straight line if the
assumed density is correct. Because the cumulative distribution
function of the uniform density was a straight line, the q-q plot
was very easy to construct. For data that is not uniform, the
theoretical quantiles must be computed in a different manner.
Let {z1, z2, ..., zn} denote a
random sample from a normal distribution with mean μ = 0 and standard deviation σ = 1. Let the ordered
values be denoted by
z{1) <
z(2) <
z(3) < ... <
z(n-1)(n).
These n ordered values will play the role of the sample
quantiles.
Let us consider a sample of 5 values from a distribution to see how
they compare with what would be expected for a normal distribution.
The 5 values in ascending order are shown in the first column of
Table 2.
Table 2. Computing the expected quantile values for normal
data.
Data (z)
Rank (i)
Middle of theith Interval
Normal(z)
-1.96
-.78
.31
1.15
1.62
1
2
3
4
5
.1
.3
.5
.7
.9
-1.28
-0.52
0.00
0.52
1.28
Just as in the case of the uniform distribution, we have 5
intervals. However, with a normal distribution the theoretical
quantile is not the middle of the interval but rather the inverse
of the normal distribution for the middle of the interval. Taking
the first interval as an example, we want to know the z value such
that 0.1 of the area in the normal distribution is below z. This
can be computed using the Inverse Normal Calculator as shown in
Figure 9. Simply set the “Shaded Area” field to the middle of the
interval (0.1) and click on the “Below” button. The result is
-1.28. Therefore, 10% of the distribution is below a z value of
-1.28.
Figure 9. Example of the Inverse Normal Calculator for finding a
value of the expected quantile from a normal distribution.
The q-q plot for the data in Table 2 is shown in the left frame of
Figure 11.
In general, what should we take as the corresponding theoretical
quantiles? Let the cumulative distribution function of the normal
density be denoted by Φ(z). In the previous example, Φ(-1.28) =
0.10 and Φ(0.00) = 0.50. Using the quantile notation, if
ξq is the qth quantile of a normal
distribution, then
Φ(ξq)= q.
That is, the probability a normal sample is less
than ξq is
in fact just q.
Consider the first ordered value, z(1). What might we
expect the value of Φ(z(1)) to be? Intuitively, we
expect this probability to take on a value in the interval (0,
1/n). Likewise, we expect Φ(z(2)) to take on a value in
the interval (1/n, 2/n). Continuing, we expect Φ(z(n))
to fall in the interval ((n - 1)/n, 1). Thus, the theoretical
quantile we desire is defined by the inverse (not reciprocal) of
the normal CDF. In particular, the theoretical quantile
corresponding to the empirical quantile
z(i) should be
for i = 1, 2, ..., n.
The empirical CDF and theoretical quantile construction for the
small sample given in Table 2 are displayed in Figure 10. For the
larger sample of size 100, the first few expected quantiles are
-2.576, -2.170, and -1.960.
Figure 10. The empirical CDF of a small sample of 5 normal points,
together with the expected values of the 5 points (red dots in the
right frame).
In the left frame of Figure 11, we display the q-q plot of the
small normal sample given in Table 2. The remaining frames in
Figure 11 display the q-q plots of normal random samples of size n
= 100 and n = 1000. As the sample size increases, the points in the
q-q plots lie closer to the line y = x.
Figure 11. q-q plots of normal data.
As before, a normal q-q plot can indicate departures from
normality. The two most common examples are skewed data and data
with heavy tails (large kurtosis). In Figure 12, we show normal q-q
plots for a chi-squared (skewed) data set and a Student’s-t
(kurtotic) data set, both of size n = 1000. The data were first
standardized. The red line is again y = x. Notice, in particular,
that the data from the t distribution follow the normal curve
fairly closely until the last dozen or so points on each
extreme.
Figure 12. q-q plots for standardized non-normal data (n =
1000).
q-q plots for normal data with general mean and scale
Our previous discussion of q-q plots for normal data all assumed
that our data were standardized. One approach to constructing q-q
plots is to first standardize the data and then proceed as
described previously. An alternative is to construct the plot
directly from raw data.
In this section, we present a general approach for data that are
not standardized. Why did we standardize the data in Figure 12? The
q-q plot is comprised of the n points
If the original data {zi} are normal, but have an
arbitrary mean μ and standard deviation σ, then the line y = x will
not match the expected theoretical quantiles. Clearly, the linear
transformation
μ + σ ξq
would provide the qth theoretical quantile on the transformed
scale. In practice, with a new data set
{x1,x2,...,xn} ,
the normal q-q plot would consist of the n points
Instead of plotting the line y = x as a reference line, the
line
y = M + s · x
should be composed, where M and s are the sample moments (mean and
standard deviation) corresponding to the theoretical moments μ and
σ. Alternatively, if the data are standardized, then the line y = x
would be appropriate, since now the sample mean would be 0 and the
sample standard deviation would be 1.
Example: SAT Case Study
The SAT case study followed the academic achievements of 105
college students majoring in computer science. The first variable
is their verbal SAT score and the second is their grade point
average (GPA) at the university level. Before we compute
inferential statistics using these variables, we should check if
their distributions are normal. In Figure 13, we display the q-q
plots of the verbal SAT and university GPA variables.
Figure 13. q-q plots for the student data (n = 105).
The verbal SAT seems to follow a normal distribution reasonably
well, except in the extreme tails. However, the university GPA
variable is highly non-normal. Compare the GPA q-q plot to the
simulation in the right frame of Figure 7. These figures are very
similar, except for the region where x ≈ -1. To follow these ideas,
we computed histograms of the variables and their scatter diagram
in Figure 14. These figures tell quite a different story. The
university GPA is bimodal, with about 20% of the students falling
into a separate cluster with a grade of C. The scatter diagram is
quite unusual. While the students in this cluster all have below
average verbal SAT scores, there are as many students with low SAT
scores whose GPAs were quite respectable. We might speculate as to
the cause(s): different distractions, different study habits, but
it would only be speculation. But observe that the raw correlation
between verbal SAT and GPA is a rather high 0.65, but when we
exclude the cluster, the correlation for the remaining 86 students
falls a little to 0.59.
Figure 14. Histograms and scatter diagram of the verbal SAT and GPA
variables for the 105 students.
Discussion
Parametric modeling usually involves making assumptions about the
shape of data, or the shape of residuals from a regression fit.
Verifying such assumptions can take many forms, but an exploration
of the shape using histograms and q-q plots is very effective. The
q-q plot does not have any design parameters such as the number of
bins for a histogram.
In an advanced treatment, the q-q plot can be used to formally test
the null hypothesis that the data are normal. This is done by
computing the correlation coefficient of the n points in the q-q
plot. Depending upon n, the null hypothesis is rejected if the
correlation coefficient is less than a threshold. The threshold is
already quite close to 0.95 for modest sample sizes.
We have seen that the q-q plot for uniform data is very closely
related to the empirical cumulative distribution function. For
general density functions, the so-called probability integral
transform takes a random variable X and maps it to the interval (0,
1) through the CDF of X itself, that is,
Y = FX(X)
which has been shown to be a uniform density. This explains why the
q-q plot on standardized data is always close to the line y = x
when the model is correct. Finally, scientists have used special graph paper for years to make
relationships linear (straight lines). The most common example used
to be semi-log paper, on which points following the formula y =
aebx appear linear. This
follows of course since log(y) = log(a) + bx, which is the equation
for a straight line. The q-q plots may be thought of as being
“probability graph paper” that makes a plot of the ordered data
values into a straight line. Every density has its own special
probability graph paper.
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