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Piecewise Linear Distribution

Overview

The piecewise linear distribution creates a nonparametric representation of the cumulative distribution function (cdf) by linearly connecting the known cdf values from the sample data.

Parameters

The piecewise linear distribution uses the following parameters.

ParameterDescription
xVector of x values at which the cdf changes slope
FxVector of cdf values that correspond to each value in x

Cumulative Distribution Function

The piecewise linear distribution constructs a continuous cumulative distribution function (cdf) by connecting the empirical cdf values such that the cdf increases linearly between x(j) and x(j + 1).

Relationship to Other Distributions

The piecewise linear distribution is a continuous version of the discrete empirical cumulative distribution function (ecdf).

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