mpercentile

mpercentile(X, percent, window, [interpolation='linear'], [minPeriods])

Please see mFunctions for the parameters and windowing logic.

X is a vector or a matrix.

percent is an integer or floating value between 0 and 100.

window is a positive integer indicating the moving window size.

interpolation is a string indicating the interpolation method to use if the specified percentile is between two elements in X (assuming the i-th and (i+1)-th element in the sorted X) . It can take the following values:

• 'linear': Return X(i)+(X(t+1)-X(t))*fraction, where fraction = ((percentile100)-(i(size-1)))(1(size-1))

• 'lower': Return X(i)

• 'higher': Return X(i+1)

• 'nearest': Return X(i) or X(i+1) that is closest to the specified percentile

• 'midpoint': Return (X(i)+X(i+1))2

The default value of interpolation is 'linear'.

minPeriods is a positive integer indicating the minimum number of observations in a window required to be not Null (otherwise the result is Null).

Return the percentile rank of each element of X in a sliding window.

x=2 1 3 7 6 5 4;
mpercentile(x, percent=50, window=3);
// output
[,,2,3,6,6,5]

mpercentile(x, percent=25, window=3, interpolation="lower");
// output
[,,1,1,3,5,4]

mpercentile(x, percent=75, window=3, interpolation="higher")
// output
[,,3,7,7,7,6]

mpercentile(x, percent=5, window=3, interpolation="nearest")
// output
[,,1,1,3,5,4]

mpercentile(x, percent=15, window=3, interpolation="midpoint")
// output
[,,1.5,2,4.5,5.5,4.5]

mpercentile(x, percent=50, window=3, interpolation="linear", minPeriods=1);
// output
[2,1.5,2,3,6,6,5]

m=matrix(2 1 3 7 6 5 4, 1..7);
m;

mpercentile(m, percent=50, window=3, interpolation="linear", minPeriods=1);

m.rename!(date(2020.09.08)+1..7, `A`B)
m.setIndexedMatrix!()
mpercentile(m, percent=50, window=3d, interpolation="linear", minPeriods=1);

mpercentile(m, percent=50, window=1w, interpolation="linear", minPeriods=1);

Related functions: percentile