In probability theory and statistics, the probit function is the quantile function associated with the

standard normal distribution. It has applications in data analysis and machine learning, in particular
exploratory statistical graphics and specialized regression modeling of binary response variables.

Mathematically, the probit is the inverse of the cumulative distribution function of the standard
normal distribution, which is denoted as , so the probit is defined as

Largely because of the central limit theorem, the standard normal distribution plays a fundamental
role in probability theory and statistics. If we consider the familiar fact that the standard normal
distribution places 95% of probability between −1.96 and 1.96 and is symmetric around zero, it
follows that

The probit function gives the 'inverse' computation, generating a value of a standard normal random
variable, associated with specified cumulative probability. Continuing the example,

In general,

and

Conceptual development

The idea of the probit function was published by Chester Ittner Bliss in a 1934 article in Science on
how to treat data such as the percentage of a pest killed by a pesticide.[1] Bliss proposed transforming
the percentage killed into a "probability unit" (or "probit") which was linearly related to the modern
definition (he defined it arbitrarily as equal to 0 for 0.0001 and 1 for 0.9999):[2]

These arbitrary probability units have been termed "probits" ...

He included a table to aid other researchers to convert their kill percentages to his probit, which they
could then plot against the logarithm of the dose and thereby, it was hoped, obtain a more or less
straight line. Such a so-called probit model is still important in toxicology, as well as other fields. The
approach is justified in particular if response variation can be rationalized as a lognormal distribution
of tolerances among subjects on test, where the tolerance of a particular subject is the dose just
sufficient for the response of interest.

The method introduced by Bliss was carried forward in Probit Analysis, an important text on
toxicological applications by D. J. Finney.[3][4] Values tabled by Finney can be derived from probits as
defined here by adding a value of 5. This distinction is summarized by Collett (p. 55):[5] "The original
definition of a probit [with 5 added] was primarily to avoid having to work with negative probits; ...
This definition is still used in some quarters, but in the major statistical software packages for what is
referred to as probit analysis, probits are defined without the addition of 5." Probit methodology,
including numerical optimization for fitting of probit functions, was introduced before widespread
availability of electronic computing. When using tables, it was convenient to have probits uniformly
positive. Common areas of application do not require positive probits.

Diagnosing deviation of a distribution from normality

Main article: Q–Q plot

In addition to providing a basis for important types of regression, the probit function is useful in
statistical analysis for diagnosing deviation from normality, according to the method of Q–Q plotting.
If a set of data is actually a sample of a normal distribution, a plot of the values against their probit
scores will be approximately linear. Specific deviations from normality such as asymmetry, heavy
tails, or bimodality can be diagnosed based on detection of specific deviations from linearity. While
the Q–Q plot can be used for comparison to any distribution family (not only the normal), the normal
Q–Q plot is a relatively standard exploratory data analysis procedure because the assumption of
normality is often a starting point for analysis.

Computation

The normal distribution CDF and its inverse are not available in closed form, and computation
requires careful use of numerical procedures. However, the functions are widely available in software
for statistics and probability modeling, and in spreadsheets. In Microsoft Excel, for example, the
probit function is available as norm.s.inv(p). In computing environments where numerical
implementations of the inverse error function are available, the probit function may be obtained as

An example is MATLAB, where an 'erfinv' function is available. The language Mathematica

implements 'InverseErf'. Other environments directly implement the probit function as is shown in
the following session in the R programming language.

> qnorm(0.025)

[1] -1.959964

> pnorm(-1.96)

[1] 0.02499790

Details for computing the inverse error function can be found at [1]. Wichura gives a fast algorithm
for computing the probit function to 16 decimal places; this is used in R to generate random variates
for the normal distribution.[6]

An ordinary differential equation for the probit function

Another means of computation is based on forming a non-linear ordinary differential equation (ODE)
for probit, as per the Steinbrecher and Shaw method.[7] Abbreviating the probit function as , the ODE
is

where is the probability density function of w.

In the case of the Gaussian:

Differentiating again:

with the centre (initial) conditions

This equation may be solved by several methods, including the classical power series approach. From
this, solutions of arbitrarily high accuracy may be developed based on Steinbrecher's approach to the
series for the inverse error function. The power series solution is given by

where the coefficients satisfy the non-linear recurrence

with . In this form the ratio as .

Logit
 Comparison of the logit function with a scaled
probit (i.e. the inverse CDF of the normal distribution), comparing vs. , which makes the slopes the
same at the origin.

Further information: Logit

Closely related to the probit function (and probit model) are the logit function and logit model. The
inverse of the logistic function is given by

Analogously to the probit model, we may assume that such a quantity is related linearly to a set of
predictors, resulting in the logit model, the basis in particular of logistic regression model, the most
prevalent form of regression analysis for categorical response data. In current statistical practice,
probit and logit regression models are often handled as cases of the generalized linear model.

See also

 Detection error tradeoff graphs (DET graphs, an alternative to the ROC)

 Logistic regression (a.k.a. logit model)

 Logit

 Probit model

 Multinomial probit

 Q–Q plot

 Continuous function

 Monotonic function

 Quantile function

 Sigmoid function

 Rankit analysis, also developed by Chester Bliss

 Ridit scoring

References
 1.

 Bliss, C. I. (1934). "The method of probits". Science. 79 (2037): 38–39. Bibcode:1934Sci....79...38B.

doi:10.1126/science.79.2037.38. JSTOR 1659792. PMID 17813446.

  Bliss 1934, p. 39.

  Finney, D.J. (1947), Probit Analysis. (1st edition) Cambridge University Press, Cambridge, UK.

  Finney, D.J. (1971). Probit Analysis (3rd ed.). Cambridge University Press, Cambridge, UK.
ISBN 0-521-08041-X. OCLC 174198382.

  Collett, D. (1991). Modelling Binary Data. Chapman and Hall / CRC.

  Wichura, M.J. (1988). "Algorithm AS241: The Percentage Points of the Normal Distribution".
Applied Statistics. 37 (3). Blackwell Publishing: 477–484. doi:10.2307/2347330. JSTOR 2347330.

7.  Steinbrecher, G., Shaw, W.T. (2008). "Quantile mechanics". European Journal of Applied
Mathematics. 19 (2): 87–112. doi:10.1017/S0956792508007341. S2CID 6899308.

External links

 Which Link Function — Logit, Probit, or Cloglog? 12.04.2023

Categories:

 Statistical analysis

 Single-equation methods (econometrics)

 Normal distribution

 This page was last edited on 4 Novembe