Mercurial > octave-nkf
annotate scripts/statistics/base/quantile.m @ 19867:9fc020886ae9
maint: Clean up m-files to follow Octave coding conventions.
Try to trim long lines to < 80 chars.
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author | Rik <rik@octave.org> |
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date | Mon, 23 Feb 2015 14:54:39 -0800 |
parents | 4197fc428c7d |
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1 ## Copyright (C) 2008-2015 Ben Abbott and Jaroslav Hajek |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify it |
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6 ## under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 3 of the License, or (at |
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8 ## your option) any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, but |
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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13 ## General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; see the file COPYING. If not, see |
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17 ## <http://www.gnu.org/licenses/>. |
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18 |
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19 ## -*- texinfo -*- |
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20 ## @deftypefn {Function File} {@var{q} =} quantile (@var{x}) |
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21 ## @deftypefnx {Function File} {@var{q} =} quantile (@var{x}, @var{p}) |
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22 ## @deftypefnx {Function File} {@var{q} =} quantile (@var{x}, @var{p}, @var{dim}) |
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24 ## For a sample, @var{x}, calculate the quantiles, @var{q}, corresponding to |
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25 ## the cumulative probability values in @var{p}. All non-numeric values (NaNs) |
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26 ## of @var{x} are ignored. |
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27 ## |
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28 ## If @var{x} is a matrix, compute the quantiles for each column and |
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29 ## return them in a matrix, such that the i-th row of @var{q} contains |
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30 ## the @var{p}(i)th quantiles of each column of @var{x}. |
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31 ## |
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32 ## If @var{p} is unspecified, return the quantiles for |
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33 ## @code{[0.00 0.25 0.50 0.75 1.00]}. |
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34 ## The optional argument @var{dim} determines the dimension along which |
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35 ## the quantiles are calculated. If @var{dim} is omitted it defaults to |
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36 ## the first non-singleton dimension. |
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37 ## |
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38 ## The methods available to calculate sample quantiles are the nine methods |
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39 ## used by R (@url{http://www.r-project.org/}). The default value is |
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40 ## @w{METHOD = 5}. |
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41 ## |
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42 ## Discontinuous sample quantile methods 1, 2, and 3 |
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43 ## |
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44 ## @enumerate 1 |
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45 ## @item Method 1: Inverse of empirical distribution function. |
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46 ## |
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47 ## @item Method 2: Similar to method 1 but with averaging at discontinuities. |
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48 ## |
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49 ## @item Method 3: SAS definition: nearest even order statistic. |
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50 ## @end enumerate |
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51 ## |
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52 ## Continuous sample quantile methods 4 through 9, where p(k) is the linear |
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53 ## interpolation function respecting each methods' representative cdf. |
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54 ## |
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55 ## @enumerate 4 |
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56 ## @item Method 4: p(k) = k / n. That is, linear interpolation of the |
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57 ## empirical cdf. |
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58 ## |
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59 ## @item Method 5: p(k) = (k - 0.5) / n. That is a piecewise linear function |
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60 ## where the knots are the values midway through the steps of the empirical |
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61 ## cdf. |
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62 ## |
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63 ## @item Method 6: p(k) = k / (n + 1). |
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64 ## |
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65 ## @item Method 7: p(k) = (k - 1) / (n - 1). |
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66 ## |
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67 ## @item Method 8: p(k) = (k - 1/3) / (n + 1/3). The resulting quantile |
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68 ## estimates are approximately median-unbiased regardless of the distribution |
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69 ## of @var{x}. |
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70 ## |
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71 ## @item Method 9: p(k) = (k - 3/8) / (n + 1/4). The resulting quantile |
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72 ## estimates are approximately unbiased for the expected order statistics if |
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73 ## @var{x} is normally distributed. |
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74 ## @end enumerate |
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75 ## |
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76 ## @nospell{Hyndman and Fan} (1996) recommend method 8. Maxima, S, and R |
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77 ## (versions prior to 2.0.0) use 7 as their default. Minitab and SPSS |
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78 ## use method 6. @sc{matlab} uses method 5. |
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79 ## |
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80 ## References: |
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81 ## |
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82 ## @itemize @bullet |
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83 ## @item @nospell{Becker, R. A., Chambers, J. M. and Wilks, A. R.} (1988) |
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84 ## The New S Language. Wadsworth & Brooks/Cole. |
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85 ## |
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86 ## @item @nospell{Hyndman, R. J. and Fan, Y.} (1996) Sample quantiles in |
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87 ## statistical packages, American Statistician, 50, 361--365. |
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88 ## |
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89 ## @item R: A Language and Environment for Statistical Computing; |
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90 ## @url{http://cran.r-project.org/doc/manuals/fullrefman.pdf}. |
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91 ## @end itemize |
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92 ## |
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93 ## Examples: |
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94 ## @c Set example in small font to prevent overfull line |
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95 ## |
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96 ## @smallexample |
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97 ## @group |
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98 ## x = randi (1000, [10, 1]); # Create empirical data in range 1-1000 |
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99 ## q = quantile (x, [0, 1]); # Return minimum, maximum of distribution |
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100 ## q = quantile (x, [0.25 0.5 0.75]); # Return quartiles of distribution |
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101 ## @end group |
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102 ## @end smallexample |
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103 ## @seealso{prctile} |
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104 ## @end deftypefn |
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105 |
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106 ## Author: Ben Abbott <bpabbott@mac.com> |
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107 ## Description: Matlab style quantile function of a discrete/continuous |
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108 ## distribution. |
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109 |
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110 function q = quantile (x, p = [], dim, method = 5) |
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111 |
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112 if (nargin < 1 || nargin > 4) |
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113 print_usage (); |
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114 endif |
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115 |
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116 if (! (isnumeric (x) || islogical (x))) |
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117 error ("quantile: X must be a numeric vector or matrix"); |
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118 endif |
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119 |
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120 if (isempty (p)) |
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121 p = [0.00 0.25, 0.50, 0.75, 1.00]; |
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122 endif |
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123 |
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124 if (! (isnumeric (p) && isvector (p))) |
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125 error ("quantile: P must be a numeric vector"); |
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126 endif |
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127 |
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128 if (nargin < 3) |
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129 ## Find the first non-singleton dimension. |
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130 (dim = find (size (x) > 1, 1)) || (dim = 1); |
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131 else |
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132 if (!(isscalar (dim) && dim == fix (dim)) |
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133 || !(1 <= dim && dim <= ndims (x))) |
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134 error ("quantile: DIM must be an integer and a valid dimension"); |
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135 endif |
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136 endif |
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137 |
8506 | 138 ## Set the permutation vector. |
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139 perm = 1:ndims (x); |
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140 perm(1) = dim; |
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141 perm(dim) = 1; |
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142 |
8506 | 143 ## Permute dim to the 1st index. |
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144 x = permute (x, perm); |
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145 |
8506 | 146 ## Save the size of the permuted x N-d array. |
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147 sx = size (x); |
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148 |
8506 | 149 ## Reshape to a 2-d array. |
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150 x = reshape (x, [sx(1), prod(sx(2:end))]); |
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151 |
8506 | 152 ## Calculate the quantiles. |
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153 q = __quantile__ (x, p, method); |
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154 |
8506 | 155 ## Return the shape to the original N-d array. |
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156 q = reshape (q, [numel(p), sx(2:end)]); |
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157 |
8506 | 158 ## Permute the 1st index back to dim. |
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159 q = ipermute (q, perm); |
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160 |
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161 endfunction |
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162 |
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163 |
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164 %!test |
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165 %! p = 0.50; |
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166 %! q = quantile (1:4, p); |
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167 %! qa = 2.5; |
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168 %! assert (q, qa); |
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169 %! q = quantile (1:4, p, 1); |
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170 %! qa = [1, 2, 3, 4]; |
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171 %! assert (q, qa); |
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172 %! q = quantile (1:4, p, 2); |
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173 %! qa = 2.5; |
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174 %! assert (q, qa); |
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175 |
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176 %!test |
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177 %! p = [0.50 0.75]; |
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178 %! q = quantile (1:4, p); |
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179 %! qa = [2.5 3.5]; |
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180 %! assert (q, qa); |
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181 %! q = quantile (1:4, p, 1); |
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182 %! qa = [1, 2, 3, 4; 1, 2, 3, 4]; |
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183 %! assert (q, qa); |
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184 %! q = quantile (1:4, p, 2); |
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185 %! qa = [2.5 3.5]; |
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186 %! assert (q, qa); |
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187 |
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188 %!test |
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189 %! p = 0.5; |
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190 %! x = sort (rand (11)); |
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191 %! q = quantile (x, p); |
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192 %! assert (q, x(6,:)); |
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193 %! x = x.'; |
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194 %! q = quantile (x, p, 2); |
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195 %! assert (q, x(:,6)); |
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196 |
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197 %!test |
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198 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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199 %! x = [1; 2; 3; 4]; |
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200 %! a = [1.0000 1.0000 2.0000 3.0000 4.0000 |
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201 %! 1.0000 1.5000 2.5000 3.5000 4.0000 |
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202 %! 1.0000 1.0000 2.0000 3.0000 4.0000 |
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203 %! 1.0000 1.0000 2.0000 3.0000 4.0000 |
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204 %! 1.0000 1.5000 2.5000 3.5000 4.0000 |
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205 %! 1.0000 1.2500 2.5000 3.7500 4.0000 |
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206 %! 1.0000 1.7500 2.5000 3.2500 4.0000 |
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207 %! 1.0000 1.4167 2.5000 3.5833 4.0000 |
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208 %! 1.0000 1.4375 2.5000 3.5625 4.0000]; |
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209 %! for m = 1:9 |
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210 %! q = quantile (x, p, 1, m).'; |
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211 %! assert (q, a(m,:), 0.0001); |
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212 %! endfor |
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213 |
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214 %!test |
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215 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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216 %! x = [1; 2; 3; 4; 5]; |
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217 %! a = [1.0000 2.0000 3.0000 4.0000 5.0000 |
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218 %! 1.0000 2.0000 3.0000 4.0000 5.0000 |
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219 %! 1.0000 1.0000 2.0000 4.0000 5.0000 |
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220 %! 1.0000 1.2500 2.5000 3.7500 5.0000 |
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221 %! 1.0000 1.7500 3.0000 4.2500 5.0000 |
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222 %! 1.0000 1.5000 3.0000 4.5000 5.0000 |
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223 %! 1.0000 2.0000 3.0000 4.0000 5.0000 |
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224 %! 1.0000 1.6667 3.0000 4.3333 5.0000 |
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225 %! 1.0000 1.6875 3.0000 4.3125 5.0000]; |
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226 %! for m = 1:9 |
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227 %! q = quantile (x, p, 1, m).'; |
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228 %! assert (q, a(m,:), 0.0001); |
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229 %! endfor |
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230 |
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231 %!test |
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232 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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233 %! x = [1; 2; 5; 9]; |
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234 %! a = [1.0000 1.0000 2.0000 5.0000 9.0000 |
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235 %! 1.0000 1.5000 3.5000 7.0000 9.0000 |
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236 %! 1.0000 1.0000 2.0000 5.0000 9.0000 |
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237 %! 1.0000 1.0000 2.0000 5.0000 9.0000 |
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238 %! 1.0000 1.5000 3.5000 7.0000 9.0000 |
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239 %! 1.0000 1.2500 3.5000 8.0000 9.0000 |
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240 %! 1.0000 1.7500 3.5000 6.0000 9.0000 |
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241 %! 1.0000 1.4167 3.5000 7.3333 9.0000 |
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242 %! 1.0000 1.4375 3.5000 7.2500 9.0000]; |
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243 %! for m = 1:9 |
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244 %! q = quantile (x, p, 1, m).'; |
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245 %! assert (q, a(m,:), 0.0001); |
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246 %! endfor |
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247 |
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248 %!test |
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249 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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250 %! x = [1; 2; 5; 9; 11]; |
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251 %! a = [1.0000 2.0000 5.0000 9.0000 11.0000 |
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252 %! 1.0000 2.0000 5.0000 9.0000 11.0000 |
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253 %! 1.0000 1.0000 2.0000 9.0000 11.0000 |
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254 %! 1.0000 1.2500 3.5000 8.0000 11.0000 |
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255 %! 1.0000 1.7500 5.0000 9.5000 11.0000 |
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256 %! 1.0000 1.5000 5.0000 10.0000 11.0000 |
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257 %! 1.0000 2.0000 5.0000 9.0000 11.0000 |
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258 %! 1.0000 1.6667 5.0000 9.6667 11.0000 |
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259 %! 1.0000 1.6875 5.0000 9.6250 11.0000]; |
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260 %! for m = 1:9 |
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261 %! q = quantile (x, p, 1, m).'; |
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262 %! assert (q, a(m,:), 0.0001); |
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263 %! endfor |
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264 |
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265 %!test |
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266 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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267 %! x = [16; 11; 15; 12; 15; 8; 11; 12; 6; 10]; |
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268 %! a = [6.0000 10.0000 11.0000 15.0000 16.0000 |
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269 %! 6.0000 10.0000 11.5000 15.0000 16.0000 |
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270 %! 6.0000 8.0000 11.0000 15.0000 16.0000 |
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271 %! 6.0000 9.0000 11.0000 13.5000 16.0000 |
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272 %! 6.0000 10.0000 11.5000 15.0000 16.0000 |
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273 %! 6.0000 9.5000 11.5000 15.0000 16.0000 |
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274 %! 6.0000 10.2500 11.5000 14.2500 16.0000 |
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275 %! 6.0000 9.8333 11.5000 15.0000 16.0000 |
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276 %! 6.0000 9.8750 11.5000 15.0000 16.0000]; |
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277 %! for m = 1:9 |
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278 %! q = quantile (x, p, 1, m).'; |
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279 %! assert (q, a(m,:), 0.0001); |
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280 %! endfor |
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281 |
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282 %!test |
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283 %! p = [0.00, 0.25, 0.50, 0.75, 1.00]; |
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284 %! x = [-0.58851; 0.40048; 0.49527; -2.551500; -0.52057; ... |
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285 %! -0.17841; 0.057322; -0.62523; 0.042906; 0.12337]; |
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286 %! a = [-2.551474 -0.588505 -0.178409 0.123366 0.495271 |
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287 %! -2.551474 -0.588505 -0.067751 0.123366 0.495271 |
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288 %! -2.551474 -0.625231 -0.178409 0.123366 0.495271 |
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289 %! -2.551474 -0.606868 -0.178409 0.090344 0.495271 |
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290 %! -2.551474 -0.588505 -0.067751 0.123366 0.495271 |
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291 %! -2.551474 -0.597687 -0.067751 0.192645 0.495271 |
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292 %! -2.551474 -0.571522 -0.067751 0.106855 0.495271 |
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293 %! -2.551474 -0.591566 -0.067751 0.146459 0.495271 |
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294 %! -2.551474 -0.590801 -0.067751 0.140686 0.495271]; |
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295 %! for m = 1:9 |
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296 %! q = quantile (x, p, 1, m).'; |
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297 %! assert (q, a(m,:), 0.0001); |
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298 %! endfor |
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299 |
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300 %!test |
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301 %! p = 0.5; |
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302 %! x = [0.112600, 0.114800, 0.052100, 0.236400, 0.139300 |
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303 %! 0.171800, 0.727300, 0.204100, 0.453100, 0.158500 |
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304 %! 0.279500, 0.797800, 0.329600, 0.556700, 0.730700 |
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305 %! 0.428800, 0.875300, 0.647700, 0.628700, 0.816500 |
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306 %! 0.933100, 0.931200, 0.963500, 0.779600, 0.846100]; |
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307 %! tol = 0.00001; |
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308 %! x(5,5) = NaN; |
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309 %! assert (quantile (x, p, 1), [0.27950, 0.79780, 0.32960, 0.55670, 0.44460], tol); |
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310 %! x(1,1) = NaN; |
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311 %! assert (quantile (x, p, 1), [0.35415, 0.79780, 0.32960, 0.55670, 0.44460], tol); |
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312 %! x(3,3) = NaN; |
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313 %! assert (quantile (x, p, 1), [0.35415, 0.79780, 0.42590, 0.55670, 0.44460], tol); |
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314 |
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315 %!test |
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316 %! sx = [2, 3, 4]; |
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317 %! x = rand (sx); |
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318 %! dim = 2; |
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319 %! p = 0.5; |
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320 %! yobs = quantile (x, p, dim); |
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321 %! yexp = median (x, dim); |
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322 %! assert (yobs, yexp); |
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323 |
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324 ## Test input validation |
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325 %!error quantile () |
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326 %!error quantile (1, 2, 3, 4, 5) |
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327 %!error quantile (['A'; 'B'], 10) |
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328 %!error quantile (1:10, [true, false]) |
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329 %!error quantile (1:10, ones (2,2)) |
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330 %!error quantile (1, 1, 1.5) |
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331 %!error quantile (1, 1, 0) |
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332 %!error quantile (1, 1, 3) |
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333 %!error quantile ((1:5)', 0.5, 1, 0) |
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334 %!error quantile ((1:5)', 0.5, 1, 10) |
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335 |
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336 ## For the cumulative probability values in @var{p}, compute the |
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337 ## quantiles, @var{q} (the inverse of the cdf), for the sample, @var{x}. |
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338 ## |
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339 ## The optional input, @var{method}, refers to nine methods available in R |
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340 ## (http://www.r-project.org/). The default is @var{method} = 7. |
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341 ## @seealso{prctile, quantile, statistics} |
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342 |
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343 ## Author: Ben Abbott <bpabbott@mac.com> |
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344 ## Vectorized version: Jaroslav Hajek <highegg@gmail.com> |
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345 ## Description: Quantile function of empirical samples |
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346 |
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347 function inv = __quantile__ (x, p, method = 5) |
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348 |
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349 if (nargin < 2 || nargin > 3) |
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350 print_usage (); |
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351 endif |
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352 |
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353 if (isinteger (x) || islogical (x)) |
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354 x = double (x); |
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355 endif |
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356 |
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357 ## set shape of quantiles to column vector. |
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358 p = p(:); |
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359 |
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360 ## Save length and set shape of samples. |
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361 ## FIXME: does sort guarantee that NaN's come at the end? |
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362 x = sort (x); |
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363 m = sum (! isnan (x)); |
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364 [xr, xc] = size (x); |
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365 |
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366 ## Initialize output values. |
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367 inv = Inf (class (x)) * (-(p < 0) + (p > 1)); |
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368 inv = repmat (inv, 1, xc); |
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369 |
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370 ## Do the work. |
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371 if (any (k = find ((p >= 0) & (p <= 1)))) |
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372 n = length (k); |
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373 p = p(k); |
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374 ## Special case of 1 row. |
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375 if (xr == 1) |
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376 inv(k,:) = repmat (x, n, 1); |
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377 return; |
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378 endif |
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379 |
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380 ## The column-distribution indices. |
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381 pcd = kron (ones (n, 1), xr*(0:xc-1)); |
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382 mm = kron (ones (n, 1), m); |
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383 switch (method) |
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384 case {1, 2, 3} |
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385 switch (method) |
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386 case 1 |
10549 | 387 p = max (ceil (kron (p, m)), 1); |
388 inv(k,:) = x(p + pcd); | |
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389 |
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390 case 2 |
10549 | 391 p = kron (p, m); |
392 p_lr = max (ceil (p), 1); | |
393 p_rl = min (floor (p + 1), mm); | |
394 inv(k,:) = (x(p_lr + pcd) + x(p_rl + pcd))/2; | |
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395 |
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396 case 3 |
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397 ## Used by SAS, method PCTLDEF=2. |
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398 ## http://support.sas.com/onlinedoc/913/getDoc/en/statug.hlp/stdize_sect14.htm |
10549 | 399 t = max (kron (p, m), 1); |
400 t = roundb (t); | |
401 inv(k,:) = x(t + pcd); | |
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402 endswitch |
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403 |
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404 otherwise |
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405 switch (method) |
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406 case 4 |
10549 | 407 p = kron (p, m); |
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408 |
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409 case 5 |
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410 ## Used by Matlab. |
10549 | 411 p = kron (p, m) + 0.5; |
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412 |
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413 case 6 |
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414 ## Used by Minitab and SPSS. |
10549 | 415 p = kron (p, m+1); |
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416 |
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417 case 7 |
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418 ## Used by S and R. |
10549 | 419 p = kron (p, m-1) + 1; |
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420 |
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421 case 8 |
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422 ## Median unbiased. |
10549 | 423 p = kron (p, m+1/3) + 1/3; |
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424 |
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425 case 9 |
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426 ## Approximately unbiased respecting order statistics. |
10549 | 427 p = kron (p, m+0.25) + 0.375; |
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428 |
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429 otherwise |
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430 error ("quantile: Unknown METHOD, '%d'", method); |
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431 endswitch |
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432 |
10549 | 433 ## Duplicate single values. |
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434 imm1 = (mm == 1); |
10549 | 435 x(2,imm1) = x(1,imm1); |
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436 |
10549 | 437 ## Interval indices. |
438 pi = max (min (floor (p), mm-1), 1); | |
439 pr = max (min (p - pi, 1), 0); | |
440 pi += pcd; | |
441 inv(k,:) = (1-pr) .* x(pi) + pr .* x(pi+1); | |
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442 endswitch |
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443 endif |
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444 |
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445 endfunction |
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446 |