Jones, M. C. and Daly, F
Density probability plots.
Communications in Statistics - Simulation and Computation, 24(4),
Probability plots are popular and effective tools for the graphical assessment of the goodness-of-fit of a given dataset to a hypothesised probability distribution, F say, with density f. The user can easily see any departures from F that there are, but the interpretation of such departures may not be immediately apparent. (It may take some time to work out their meaning, or else to resort to a set of rules for the interpretation of probability plots.) We investigate whether instant interpretability of these tools can be aided by a simple transformation which transfers visual assessment to the realms of familiar and immediate comparisons between densities. We seek to do so <i>without smoothing</>, and see how far this allows us to go. The idea is very effective, and rather more so than quantile-quantile plots, for f's that have a single peak when the density g from which the data truly come is also unimodal. The idea is much less appealing, however, when f and g have different modalities from each other.
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