The probability plot (Chambers et al., 1983) is a graphical technique for assessing whether or not a data set follows a given distribution such as the normal or Weibull.
The data are plotted against a theoretical distribution in such a way that the points should form approximately a straight line. Departures from this straight line indicate departures from the specified distribution.
The correlation coefficient associated with the linear fit to the data in the probability plot is a measure of the goodness of the fit. Estimates of the location and scale parameters of the distribution are given by the intercept and slope. Probability plots can be generated for several competing distributions to see which provides the best fit, and the probability plot generating the highest correlation coefficient is the best choice since it generates the straightest probability plot.
For distributions with shape parameters (not counting location and scale parameters), the shape parameters must be known in order to generate the probability plot. For distributions with a single shape parameter, the probability plot correlation coefficient (PPCC) plot provides an excellent method for estimating the shape parameter.
We cover the special case of the normal probability plot separately due to its importance in many statistical applications.