Percentile of a value based on array of data
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Hello!
I have an array with historical data and would like to know where an exogenous variable fits in this array using percentile.
Let's assume a vector with 1:1000 and 950 as a given, the function should return 95%.
It would be possible to create a function to do the task, but maybe matlab has a built-in function to do this ?
Thanks a lot, Max.
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Accepted Answer
David Young
on 8 Mar 2015
Edited: David Young
on 8 Mar 2015
% Test data
historicalData = rand(1000, 1);
exogenousVariable = 0.7;
% Compute centile
nless = sum(historicalData < exogenousVariable);
nequal = sum(historicalData == exogenousVariable);
centile = 100 * (nless + 0.5*nequal) / length(historicalData);
This actually computes 94.95 rather than 95 for your example, because the test value is equal to one of the data points. You can round to the nearest whole number or to any other number of significant figures using the round function.
2 Comments
Thomas Possidente
on 1 Dec 2021
Note that the original answer by David Young is more robust than the version in OP's comment. The version in OP's comment will only give percentile answers to the nearest integer percent. Additionally, David Young's answer can be easily modified to perform the operations on multiple exogenousVariables at once like so -
function centile = comp_percentile(data,value)
data = data(:)';
value = value(:);
nless = sum(data < value, 2);
nequal = sum(data == value, 2);
centile = 100 * (nless + 0.5.*nequal) / length(data);
end
More Answers (2)
the cyclist
on 8 Mar 2015
Sounds like you want the prctile function.
You could have found this yourself by typing
docsearch percentile
at the command prompt.
the cyclist
on 8 Mar 2015
This is the inverse of the percentile function, right? There is not a built-in function for that, as far as I know. There are a few contributions in the File Exchange. (They show up if you google the keywords inverse percentile matlab .) Here is one example.
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