2017年6月4日星期日

Normal score and rankit

The second meaning of normal score is associated with data values derived from the ranks of the observations within the dataset. A given data point is assigned a value which is either exactly, or an approximation, to the expectation of the order statistic of the same rank in a sample of standard normal random variables of the same size as the observed data set.[1] Thus the meaning of a normal score of this type is essentially the same as a rankit, although the term "rankit" is becoming obsolete. In this case the transformation creates a set of values which is matched in a certain way to what would be expected had the original set of data values arisen from a normal distribution.