Determining distribution parameters from quantiles


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1 Determining distribution parameters from quantiles John D. Cook Department of Biostatistics The University of Texas M. D. Anderson Cancer Center P. O. Box Unit 1409 Houston, TX USA January 27, 2010 Abstract Bayesian statistics often requires eliciting prior probabilities from subject matter experts who are unfamiliar with statistics. While most people an intuitive understing of the mean of a probability distribution, fewer people underst variance as well, particularly in the context of asymmetric distributions. Prior beliefs may be more accurately captured by asking experts for quantiles rather than for means variances. This note will explain how to solve for parameters so that common distributions satisfy two quantile conditions. We present algorithms for computing these parameters point to corresponding software. The distributions discussed are normal, log normal, Cauchy, Weibull, gamma, inverse gamma. The method given for the normal Cauchy distributions applies more generally to any locationscale family. 1 Problem statement Let X be a rom variable from a twoparameter family. Given probabilities p 1 p 2 we elicit values x 2 such that P (X < ) = p 1 P (X < x 2 ) = p 2. For example, we may ask for the 10th 90th percentiles. For consistency we require ( x 2 )(p 1 p 2 ) > 0. 1
2 This is the only restriction. There is no mathematical requirement for p 1 p 2 to be widely separated, though in practice they usually will be. 2 Locationscale families Suppose we want to find the mean stard deviation of a normal distribution that has specified quantiles. The derivation below shows how to compute the distribution parameters. The only property of the normal distribution we use is that it is a locationscale family. The same derivation shows how to find the location scale of any locationscale distribution. We want to find µ σ such that a normal rom variable with mean (location) µ stard deviation (scale) σ satisfies where < x 2 p 1 < p 2. P (X < ) = p 1 P (X < x 2 ) = p 2 The rom variable X has the same distribution as σz + µ where Z is a normal rom variable with mean 0 stard deviation 1. Let Φ be the CDF of Z, i.e. Φ(x) = P (Z < x). Then the equations are equivalent to so P (X < x i ) = p i P (σz + µ < x i ) = p i ( P Z < x ) ( ) i µ xi µ = Φ = p i. σ σ This yields linear equations for the parameters Φ 1 (p i )σ + µ = x i with the solution σ = x 2 Φ 1 (p 2 ) Φ 1 (p 1 ) µ = Φ 1 (p 2 ) x 2 Φ 1 (p 1 ) Φ 1 (p 2 ) Φ 1. (p 1 ) A lognormal distribution can easily be determined by two quantiles by reducing the problem to that of finding the parameters for a normal distribution. 2
3 If X lognormal(µ, σ), then Y = log X normal(µ, σ). To find µ σ so that P (X < x i ) = p i, solve for parameters so that P (Y < log x i ) = p i. Note that the argument above could be used to find the location scale parameters for any locationscale distribution. For example, the procedure could be used to find parameters of a Cauchy distribution. If Z is the distribution family representative with location 0 scale 1 F (x) is its CDF, then the scale parameter the location parameter σ = guarantee that X = σz + µ satisfies x 2 F 1 (p 2 ) F 1 (p 1 ) µ = F 1 (p 2 ) x 2 F 1 (p 1 ) F 1 (p 2 ) F 1 (p 1 ) F ( ) = p 1 F (x 2 ) = p 2. 3 Weibull distribution Next we consider the problem of determining the parameters of a Weibull distribution from two specified quantiles. The Weibull distribution with shape γ scale β has CDF ( ( ) γ ) x F (x; γ, β) = 1 exp. β The CDF can be inverted easily: F 1 (p; γ, β) = β( log(1 p)) 1/γ. If then Thus for every γ > 0 F ( ; γ, β) = p 1 F ( /β; γ, 1) = p 1. β = β(γ) = F 1 (p 1 ; γ, 1) = ( log(1 p 1 )) 1/γ 3
4 satisfies the first quantile equation F ( ; γ, β) = p 1. Next we show how to select γ to also satisfy the second quantile equation. If F (x i ; γ, β(γ)) = p i for i = 1, 2 then x i = F 1 (p i ; γ, 1) It follows that x 2 = F 1 (p 2 ; γ, 1) F 1 (p 1 ; γ, 1) = ( ) 1/γ log(1 p2 ). log(1 p 1 ) γ = log( log(1 p 2)) log( log(1 p 1 )). log(x 2 ) log( ) 4 Gamma distribution We can determine the parameters for a gamma distribution in a manner similar to that used for the Weibull distribution. However, the CDF inverse CDF of a gamma distribution do not have an elementary closed form so the proof is less direct. Let F (x; α, β) be the CDF of a gamma distribution with shape α scale β. That is, 1 x F (x; α, β) = Γ(α)β α t α 1 exp( t/β) dt. We will show there is a unique solution to the equations 0 F ( ; α, β) = p 1 F (x 2 ; α, β) = p 2 provided 0 < < x 2 0 < p 1 < p 2 < 1. Note that the gamma is a scale family so Thus for any α > 0, is the unique β satisfying F (x; α, β) = F (x/β; α, 1). β = F 1 (p 1 ; α, 1) F ( ; α, β) = p 1. This says that set of parameters satisfying one quantile constraint is a curve in the first quadrant. This curve implicitly defines β as a function of α. The question now is whether the curve corresponding to two different constraints must intersect. 4
5 Assume > 0 0 < p 1 < p 2 < 1 are given. We consider the range of x 2 values such that the two quantile constraints can be satisfied. We will show that this range is (, ). If we can find α > 0 such that β = F 1 (p 1 ; α, 1) = x 2 then (α, β) satisfies both constraints F (x i ; α, β) = p i. obtain equality above when x 2 =. The question now is reduced to determining the range of First we show F 1 (p 1 ; α, 1). lim α F 1 (p 1 ; α, 1) = 1. For every α, we can As α, the CDF of a gamma(α, 1) rom variable approaches the CDF of a normal(α, α) rom variable. Thus for large α F 1 (p 2 ; α, 1) αφ 1 F 1 (p 1 ; α, 1) (p 2 ) + α αφ 1 (p 1 ) + α 1. Next, we show lim α 0 F 1 (p 1 ; α, 1) =. For small values of α, This says that as α 0, x 0 1/Γ(α) α t α 1 exp( t) dt xα α. F (x; α, 1) x α so F 1 (p i ; α, 1) p 1/α i. Therefore since p 2 > p 1 we have F 1 (p 1 ; α, 1) 5 ( p2 p 1 ) 1/α
6 as α 0. This says that for fixed 0 < p 1 < p 2 < 1 0 < < x 2, we can always find a value of α such that F 1 (p 1 ; α, 1) = x 2 (1) hence we can satisfy both quantile conditions. To compute α we can solve the equation (1), say using a bisection method. To prove that that the solution produced above is unique it suffices show that that f(α) = F 1 (p 1 ; α, 1) is monotone decreasing. We have shown that f(α) is monotone decreasing for sufficiently small sufficiently large values of α via asymptotic arguments. A complete proof would show that f(α) is monotone for all α. Note that we could solve for the parameters of an inverse gamma rom variable X by reducing the problem to finding parameters for the gamma rom variable 1/X. We have P (X < x i ) = p i if only if P (Y < 1/x i ) = 1 p i. 5 Software ParameterSolver is a Windows application that provides a convenient user interface for determining distribution parameters to satisfy two quantile conditions. The software also determines distribution parameters given a mean variance. The software is available from the M. D. Anderson Cancer Center Biostatistics software download site. This software does not implement the algorithms developed here. Instead it uses optimization to find the parameters that minimize (F ( ) p 1 ) 2 + (F (x 2 ) p 2 ) 2. I did not realize at the time I worked on the software that the quantile constraints could be satisfied exactly or that they could so easily be calculated directly for several distributions. The fact that the software provided parameters that exactly satisfy the quantile constraints prompted this more theoretical note. The software will solve for beta distribution parameters satisfying two quantile conditions. It appears that these conditions can be satisfied exactly, though I have not proven this. 6
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