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Quantile derivative identity (q′(u)=1/f(q(u)))

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Probability distribution Quantile function
2026-10-06  0 By others on same topic  0 Discussions Create my own version
If q is the quantile function of an absolutely continuous probability distribution with probability density function f, then q′(u)=1/f(q(u)) for almost every u∈(0,1). Gaps in the support may give jumps in q, so the identity concerns its ordinary almost-everywhere derivative. It follows by differentiating the inverse relation to the cumulative distribution function.

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  1. Quantile function
  2. Probability distribution
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 Incoming links (2)

  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 112 / 1 / i / Solution
  • Prékopa–Leindler inequality

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