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Posted 11-21-2022 05:56 PM
(904 views)

The QUANTILE function lists several distributions but the TRIANGULAR distribution is not one of them. The RAND function can compute random variables from a triangular distribution. Suppose I have observations from a triangular distribution, how do I compute their quantiles? It's easy for distributions that the QUANTILE allows, but the triangle distribution isn't one of them. Any code is appreciated.

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@PaulN wrote:

Here's what I came up with. It seems to work.

data triangle_percentile;

set triangle;/*a=minimum, b=maximum, c=mode h =height*/

/*using the 1/2*base*height for a triangle */

/*and slope = (y2-y1)/(x2-x1), which is either */

/* h/(c-a) for x<=c or h/(b-c) for x > c */

/*the negative sign for the slope for the latter */

/is the minus sign after the 1. */

a=0;

b=1;

c=0.2;h=2;

if x <= c then

q= 0.5*(x-a)*(h/(c-a))*x;

else

q=1 - 0.5*(b-x)*(h/(b-c))*(1-x);

run;

Hello @PaulN,

Your algorithm correctly computes the values *of the cumulative distribution function (CDF) from given quantiles*. (For general values of a and b the formulas should read

q = 0.5*(x-a)*(h/(c-a))*(x-a)

and

q = 1 - 0.5*(b-x)*(h/(b-c))*(b-x)

respectively, but since a=0 and b=1 in your example, you get the correct results.)

But you set out to compute *quantiles (from cumulative probabilities)* like SAS's QUANTILE function -- the *inverse* function of the CDF. For that purpose @mkeintz's algorithm is correct.

For example, to answer the typical question "What is the 95% quantile of that triangular distribution?", his formula yields the 0.8 in the *left* column of your table from the 0.95 (=95%) in the *right* column:

1 - sqrt((1-0)*(1-0.2)*(1-0.95)) =0.8

(mathematically; in SAS under Windows the result deviates from 0.8 by a tiny rounding error due to numeric representation issues).

8 REPLIES 8

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Simulation and PROC UNIVARIATE?

or Calling @Rick_SAS

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@PaulN wrote:

Do you know the parameters of the trangular distribution? I.e. the minimum (a), maximum (b) and mode (c)?

If so, then according to https://github.com/distributions-io/triangular-quantile the formula for quantiles (q) of a triangular distribution is:

```
if p < (c-a)/(b-a) then q= a + sqrt((b-a)*(c-a)*p) ;
else q= b - sqrt((b-a)*(b-c)*(1-p)) ;
```

where

- p is the cumulative distribution level for which you want a quantile

and - (c-a)/(b-a) is the cumulative distribution at the mode value c (i.e.
)**F(c)**

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I do know the minimum (a), maximum (b), and mode (c).

minimum = 0

maximum = 1

mode = 0.2

Height of triangle = 2.

I'll use your code and see what I get. I'll compare it to my hand computations. Thank you for the help.

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Here's the triangle distribution that I'm attempting to get SAS to compute quantiles. When I do it by hand I get the following but when I run the code it doesn't match. Any suggestions?

data triangle;

input x;

datalines;

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

;

run;

data triangle_percentile;

set triangle;

/*a=minimum, b=maximum, c=mode*/

a=0;

b=1;

c=0.2;

if x <= (c-a)/(b-a) then

q=a + sqrt((b-a)*(c-a)*x);

else

q=b - sqrt((b-a)*(b-c)*(1-x));

run;

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Here's what I came up with. It seems to work.

data triangle_percentile;

set triangle;

/*a=minimum, b=maximum, c=mode h =height*/

/*using the 1/2*base*height for a triangle */

/*and slope = (y2-y1)/(x2-x1), which is either */

/* h/(c-a) for x<=c or h/(b-c) for x > c */

/*the negative sign for the slope for the latter */

/is the minus sign after the 1. */

a=0;

b=1;

c=0.2;

h=2;

if x <= c then

q= 0.5*(x-a)*(h/(c-a))*x;

else

q=1 - 0.5*(b-x)*(h/(b-c))*(1-x);

run;

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@PaulN wrote:

Here's what I came up with. It seems to work.

data triangle_percentile;

set triangle;/*a=minimum, b=maximum, c=mode h =height*/

/*using the 1/2*base*height for a triangle */

/*and slope = (y2-y1)/(x2-x1), which is either */

/* h/(c-a) for x<=c or h/(b-c) for x > c */

/*the negative sign for the slope for the latter */

/is the minus sign after the 1. */

a=0;

b=1;

c=0.2;h=2;

if x <= c then

q= 0.5*(x-a)*(h/(c-a))*x;

else

q=1 - 0.5*(b-x)*(h/(b-c))*(1-x);

run;

Hello @PaulN,

Your algorithm correctly computes the values *of the cumulative distribution function (CDF) from given quantiles*. (For general values of a and b the formulas should read

q = 0.5*(x-a)*(h/(c-a))*(x-a)

and

q = 1 - 0.5*(b-x)*(h/(b-c))*(b-x)

respectively, but since a=0 and b=1 in your example, you get the correct results.)

But you set out to compute *quantiles (from cumulative probabilities)* like SAS's QUANTILE function -- the *inverse* function of the CDF. For that purpose @mkeintz's algorithm is correct.

For example, to answer the typical question "What is the 95% quantile of that triangular distribution?", his formula yields the 0.8 in the *left* column of your table from the 0.95 (=95%) in the *right* column:

1 - sqrt((1-0)*(1-0.2)*(1-0.95)) =0.8

(mathematically; in SAS under Windows the result deviates from 0.8 by a tiny rounding error due to numeric representation issues).

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Thanks for the clarification. I should have stated my problem differently. Your help is appreciated.

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*CDF* function to the triangular distribution, not the *QUANTILE* function mentioned in your initial post. (Otherwise mkeintz's reply, not my clarification, should be marked as the accepted solution.) Indeed, rereading your question "Suppose I have observations from a triangular distribution, how do I compute their quantiles?" it sounds like you start with observations x between a and b and want to compute cumulative probabilities p (which you denote with q), not vice versa.

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