Sunday, 20 May 2007

st.statistics - calculate percentiles from a histogram

A histogram gives you the number nini of observations between some xixi and xi+1xi+1. I'm assuming a total of nn observation. So, to get an approximation for the upper pp-percentile, you want to find the maximal jj such that sumii=jnftynigeqpnsumii=jnftynigeqpn. Then, the empirical upper pp-percentile is between xjxj and xj+1xj+1.

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