mpercentile
Syntax
mpercentile(X, percent, window, [interpolation=’linear’], [minPeriods])
Please see Moving Functions (m-functions) for the parameters and windowing logic.
Arguments
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).
Details
Return the percentile rank of each element of X in a sliding window.
Examples
$ x=2 1 3 7 6 5 4;
$ mpercentile(x, percent=50, window=3);
[,,2,3,6,6,5]
$ mpercentile(x, percent=25, window=3, interpolation="lower");
[,,1,1,3,5,4]
$ mpercentile(x, percent=75, window=3, interpolation="higher")
[,,3,7,7,7,6]
$ mpercentile(x, percent=5, window=3, interpolation="nearest")
[,,1,1,3,5,4]
$ mpercentile(x, percent=15, window=3, interpolation="midpoint")
[,,1.5,2,4.5,5.5,4.5]
$ mpercentile(x, percent=50, window=3, interpolation="linear", minPeriods=1);
[2,1.5,2,3,6,6,5]
$ m=matrix(2 1 3 7 6 5 4, 1..7);
$ m;
#0 |
#1 |
---|---|
2 |
1 |
1 |
2 |
3 |
3 |
7 |
4 |
6 |
5 |
5 |
6 |
4 |
7 |
$ mpercentile(m, percent=50, window=3, interpolation="linear", minPeriods=1);
#0 |
#1 |
---|---|
2 |
1 |
1.5 |
1.5 |
2 |
2 |
3 |
3 |
6 |
4 |
6 |
5 |
5 |
6 |
$ m.rename!(date(2020.09.08)+1..7, `A`B)
$ m.setIndexedMatrix!()
$ mpercentile(m, percent=50, window=3d, interpolation="linear", minPeriods=1);
label |
col1 |
col2 |
---|---|---|
2020.09.09 |
2 |
1 |
2020.09.10 |
1.5 |
1.5 |
2020.09.11 |
2 |
2 |
2020.09.12 |
3 |
3 |
2020.09.13 |
6 |
4 |
2020.09.14 |
6 |
5 |
2020.09.15 |
5 |
6 |
$ mpercentile(m, percent=50, window=1w, interpolation="linear", minPeriods=1);
label |
col1 |
col2 |
---|---|---|
2020.09.09 |
2 |
1 |
2020.09.10 |
1.5 |
1.5 |
2020.09.11 |
2 |
2 |
2020.09.12 |
2.5 |
2.5 |
2020.09.13 |
3 |
3 |
2020.09.14 |
4 |
3.5 |
2020.09.15 |
4 |
4 |
Related functions: percentile