任意分布->均匀分布(概率积分变换?)
我有 500,000 个来自金融市场的变量值。具体来说,该变量表示与平均值的距离(以标准差表示)。该变量具有任意分布。我需要一个公式,它允许我选择该变量的任何值周围的范围,以便相等(或接近)数量的数据点落在该范围内。
这将使我能够分析特定范围内的所有数据点,并将它们视为“与输入类似的情况”。
据我了解,这意味着我需要将其从任意分布转换为均匀分布。我读过(但几乎不明白)我正在寻找的东西称为“概率积分变换”。
任何人都可以帮助我编写一些代码(首选Matlab,但这并不重要)来帮助我完成此任务?
I have 500,000 values for a variable derived from financial markets. Specifically, this variable represents distance from the mean (in standard deviations). This variable has a arbitrary distribution. I need a formula that will allow me to select a range around any value of this variable such that an equal (or close to it) amount of data points fall within that range.
This will allow me to then analyze all of the data points within a specific range and to treat them as "similar situations to the input."
From what I understand, this means that I need to convert it from arbitrary distribution to uniform distribution. I have read (but barely understood) that what I am looking for is called "probability integral transform."
Can anyone assist me with some code (Matlab preferred, but it doesn't really matter) to help me accomplish this?