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
- The time series may include missing values (e.g. #N/A, #VALUE!, #NUM!, empty cell), but they will not be included in the calculations.
- The Quantile function for any distribution is defined between 0 and 1. Its function is the inverse of the cumulative distribution function (CDF).
- The Quantile function returns the sample median when $p=0.5$.
- The Quantile function returns the sample minimum when $p=0$.
- The Quantile function returns the sample maximum when $p=1$.
- 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
Examples
Example 1:
|
|
| Formula | Description (Result) |
|---|---|
| =Quantile($B$2:$B$30,0.5) | Sample median (-0.69) |
| =Quantile($B$2:$B$30,0) | Sample minimum (-2.18) |
| =Quantile($B$2:$B$30,1) | Sample maximum (1.73) |
Files Examples
Related Links
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
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