Quantile - Sample Quantile

Returns the sample p-quantile of the non-missing observations (i.e., divides the sample data into equal parts determined by the percentage p).

Syntax

Quantile(X, p)

X

is the input data sample (one/two-dimensional array of cells (e.g., rows or columns))

p

is a scalar value between 0 and 1.

Remarks

1. The time series may include missing values (e.g., #N/A, #VALUE!, #NUM!, empty cell), but they will not be included in the calculations.
2. The Quantile function for any distribution is defined between 0 and 1. Its function is the inverse of the cumulative distribution function (CDF).
3. The Quantile function returns the sample median when $p=0.5$.
4. The Quantile function returns the sample minimum when $p=0$.
5. The Quantile function returns the sample maximum when $p=1$.
6. For any probability distribution, the following holds true for the probability $p$: $$P(X\lt q)\geq p$$ Where:
   • $q$ is the sample $p$-quantile.

Files Examples

Related Links

• Wikipedia - Quantile.

References

• Hamilton, J .D.; Time Series Analysis, Princeton University Press (1994), ISBN 0-691-04289-6.
• Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740.