I used R to find kernel density estimates of my dataset (for experiment I used 1000 samples generated from a known distribution in this step).

I used code density() to find the kernel density estimate. Now I need to find the cdf of this pdf in order to find quantiles of the distribution. I used these codes for normal:

FF2=function(x) integrate(f,-Inf,x)$v-0.25

By the last code I could find the first quantile of the distribution and this is what I want. But my question is about another distribution like gamma. These codes do not run for this distribution as here:

FF1=function(x) integrate(f1,-Inf,x)$value-0.25

The result of the last code is not logical!

  • 3
    $\begingroup$ Which quantiles do you want? I see 0.25 in your code and wonder if you want quartiles. (The "first quantile" makes no sense.) If so, or even if not so, why would quartiles from a kernel density estimate be better than, or in any sense preferable to, quartiles from the raw data? There could be a good reason, but please tell us what it is. You could also smooth the quantile function directly. $\endgroup$
    – Nick Cox
    Jun 15 '18 at 8:21
  • $\begingroup$ To second @NickCox comment, the only way that a density estimate would provide more precision in quantile estimates would be if you had injected prior knowledge into the density estimation process. If density estimation used 3 or less effective degrees of freedom you'd expect it to be more efficient, if the structure imposed on the density happened to be right. $\endgroup$ Jun 15 '18 at 11:15

The true value is

> qgamma(.25,shape=2,scale=1)
[1] 0.9612788

so searching over the support $(2,10)$ does not seem like a good idea. For your normal example, the true quantile is

> qnorm(.25,8,3)
[1] 5.976531

so that the support $(2,10)$ contains the solution, explaining why the first example works but the second does not.

Also, the gamma distribution has support on $(0,\infty)$, so that the integration in FF1 ought to be started at 0.

That is,

FF1=function(x) integrate(f1,0,x)$value-0.25

works for me (starting the integration at 0 seems optional, as the distribution has no mass in the negative values).

  • $\begingroup$ thanks for your reply, but I am not searching for the real quantiles of the gamma distribution. I want to find the approximated distribution. I mean I would like to fit a kernel density distribution and then find this density's quantiles so that I can compare them with the real ones. that is why I am doing so. $\endgroup$
    – fattmim
    Jun 15 '18 at 6:48
  • 1
    $\begingroup$ I think I got that - I printed the "real" quantiles in order to emphasize issues I see in your code, namely that the support you specify in uniroot does not seem well-chosen - see also my edit to my answer. $\endgroup$ Jun 15 '18 at 7:34

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