The generic function
quantile produces sample quantiles corresponding to the given probabilities. The smallest observation corresponds to a probability of 0 and the largest to a probability of 1.
quantile(x, ...) ## S3 method for class 'default': quantile((x, probs = seq(0, 1, 0.25), na.rm = FALSE, names = TRUE, type = 7, ...))
- numeric vector whose sample quantiles are wanted, or an object of a class for which a method has been defined (see also ‘details’).
NaNvalues are not allowed in numeric vectors unless
- numeric vector of probabilities with values in [0,1]. (Values up to 2e-14 outside that range are accepted and moved to the nearby endpoint.)
- logical; if true, any
NaN's are removed from
xbefore the quantiles are computed.
- logical; if true, the result has a
namesattribute. Set to
FALSEfor speedup with many
- an integer between 1 and 9 selecting one of the nine quantile algorithms detailed below to be used.
- further arguments passed to or from other methods.
NaN values in
probs are propagated to the result.
The default method works with classed objects sufficiently like numeric vectors that
sort and (not needed by types 1 and 3) addition of elements and multiplication by a number work correctly. Note that as this is in a namespace, the copy of
sort in base will be used, not some S4 generic of that name. Also note that that is no check on the ‘correctly’, and so e.g.
quantile can be applied to complex vectors which (apart from ties) will be ordered on their real parts.
There is a method for the date-time classes (see
"POSIXt"). Types 1 and 3 can be used for class
"Date" and for ordered factors.
quantile returns estimates of underlying distribution quantiles based on one or two order statistics from the supplied elements in
x at probabilities in
probs. One of the nine quantile algorithms discussed in Hyndman and Fan (1996), selected by
type, is employed.
All sample quantiles are defined as weighted averages of consecutive order statistics. Sample quantiles of type i are defined by: Q[i](p) = (1 - γ) x[j] + γ x[j+1], where 1 ≤ i ≤ 9, (j-m)/n ≤ p < (j-m+1)/n, x[j] is the jth order statistic, n is the sample size, the value of γ is a function of j = floor(np + m) and g = np + m - j, and m is a constant determined by the sample quantile type.
Discontinuous sample quantile types 1, 2, and 3
For types 1, 2 and 3, Q[i](p) is a discontinuous function of p, with m = 0 when i = 1 and , and m = -1/2 when i = 3.
- Type 1
- Inverse of empirical distribution function. γ = 0 if g = 0, and 1 otherwise.
- Type 2
- Similar to type 1 but with averaging at discontinuities. γ = 0.5 if g = 0, and 1 otherwise.
- Type 3
- SAS definition: nearest even order statistic. γ = 0 if g = 0 and j is even, and 1 otherwise.
Continuous sample quantile types 4 through 9
For types 4 through 9, Q[i](p) is a continuous function of p, with gamma = g and m given below. The sample quantiles can be obtained equivalently by linear interpolation between the points (p[k],x[k]) where x[k] is the kth order statistic. Specific expressions for p[k] are given below.
- Type 4
- m = 0. p[k] = k / n. That is, linear interpolation of the empirical cdf.
- Type 5
- m = 1/2. p[k] = (k - 0.5) / n. That is a piecewise linear function where the knots are the values midway through the steps of the empirical cdf. This is popular amongst hydrologists.
- Type 6
- m = p. p[k] = k / (n + 1). Thus p[k] = E[F(x[k])]. This is used by Minitab and by SPSS.
- Type 7
- m = 1-p. p[k] = (k - 1) / (n - 1). In this case, p[k] = mode[F(x[k])]. This is used by S.
- Type 8
- m = (p+1)/3. p[k] = (k - 1/3) / (n + 1/3). Then p[k] =~ median[F(x[k])]. The resulting quantile estimates are approximately median-unbiased regardless of the distribution of
- Type 9
- m = p/4 + 3/8. p[k] = (k - 3/8) / (n + 1/4). The resulting quantile estimates are approximately unbiased for the expected order statistics if
xis normally distributed.
Further details are provided in Hyndman and Fan (1996) who recommended type 8. The default method is type 7, as used by S and by R < 2.0.0.
Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) The New S Language. Wadsworth & Brooks/Cole.
Hyndman, R. J. and Fan, Y. (1996) Sample quantiles in statistical packages, American Statistician 50, 361--365.
quantile(x <- rnorm(1001)) # Extremes & Quartiles by default quantile(x, probs = c(0.1, 0.5, 1, 2, 5, 10, 50, NA)/100) ### Compare different types p <- c(0.1, 0.5, 1, 2, 5, 10, 50)/100 res <- matrix(as.numeric(NA), 9, 7) for(type in 1:9) res[type, ] <- y <- quantile(x, p, type = type) dimnames(res) <- list(1:9, names(y)) round(res, 3)
Documentation reproduced from R 3.0.2. License: GPL-2.