Percentiles, Quantiles, and Quartiles

Install and import#

bash

npm install fintech-algorithms

import { percentilesQuantilesAndQuartiles } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/location-ranking-and-exploratory-summaries/percentiles-quantiles-and-quartiles";

Signature#

percentilesQuantilesAndQuartiles(input)

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

input

{
  "values": [1, 2, 2, 4, 9],
  "weights": [1, 1, 2, 1, 1],
  "trimProportion": 0.2,
  "bins": 4
}

Call#

percentilesQuantilesAndQuartiles(input)

Returns#

object with 2 fields: quantiles, iqr

{
  "quantiles": {
    "0.25": 2,
    "0.5": 2,
    "0.75": 4
  },
  "iqr": 2
}

Diagrams#

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

Percentile Definitions
percentile
Sample Quantiles in Statistical Packages
Historical-example decision