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Topic: How to calculate quantiles
Replies: 4   Last Post: Jan 4, 2013 9:29 AM

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Cristiano

Posts: 47
Registered: 12/7/12
Re: How to calculate quantiles
Posted: Jan 3, 2013 3:50 PM
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On 03/01/2013 21:01, James Waldby wrote:
> I think William Elliot either missed the point, or is being purposefully
> obtuse to suggest that the phrasing of your question is not correct and
> complete in every jot and tittle.


My English is poor, but I hope that it is clear enough. :-)

> Regarding computing those quantiles, I presume the question is which of
> the possible interpolation methods to use.


That is the second question. :-)
The main problem is that I have just 10^4 to 10^7 samples and I need to
calculate the quantile for 10^-7 or lesser and .9999999 or greater.

> Referring to the table at
> <http://en.wikipedia.org/wiki/Quantile#Estimating_the_quantiles_of_a_population>
> ten methods are shown. When q > N, every one of those methods uses x_1
> as the first q-quantile, and x_N as the last. (q = total number of
> quantiles and N = sample size.)
> So, in linear time, just find the min and max values in your sample, and
> report them as the two desired q-quantiles.


I'm using R-2, SAS-5.

> To do better than that, you need to make assumptions about the distribution.

Unfortunately, the distribution is unknown because it is the A^2
statistic which comes from the Anderson-Darling test.

Cristiano




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