Percentile
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Function Description
Returns ,
the ’th percentile ( here being
between 0 and 1) of a series of observations (for
).
Different commentators use different ways of identifying
percentiles (i.e. quantiles) from finite sized samples. The Nematrian website
uses the following methodology (for MnPercentile but not for, say, MnWeightedPercentile).
First sort the series in ascending order. The 0’th
percentile (i.e. ) is the value ranked first in
this ordering and the 100’th percentile (i.e. ) is the value
ranked last in this ordering. The percentile ranking given to other
observations are equally spaced between the 0 and 1 depending on the position
of the observation in this ordered list. Other percentiles are calculated by
linear interpolation between the two values straddling the given percentile
rank.
The equivalent function in Microsoft Excel is PERCENTILE (or
PERCENTILE.INC).
For a similar function that returns the minimum of the for
the ’th
percentile and the maximum for the ’th
percentile, i.e. corresponds to Microsoft Excel’s PERCENTILE.EXC function, then
see MnPercentileExc.
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