Package org.hipparchus.stat.descriptive.rank

Class Percentile

java.lang.Object
org.hipparchus.stat.descriptive.AbstractUnivariateStatistic
org.hipparchus.stat.descriptive.rank.Percentile
All Implemented Interfaces:
Serializable, UnivariateStatistic, MathArrays.Function
public class Percentile extends AbstractUnivariateStatistic implements Serializable
Provides percentile computation.

There are several commonly used methods for estimating percentiles (a.k.a. quantiles) based on sample data. For large samples, the different methods agree closely, but when sample sizes are small, different methods will give significantly different results. The algorithm implemented here works as follows:

  1. Let n be the length of the (sorted) array and 0 < p <= 100 be the desired percentile.
  2. If n = 1 return the unique array element (regardless of the value of p); otherwise
  3. Compute the estimated percentile position pos = p * (n + 1) / 100 and the difference, d between pos and floor(pos) (i.e. the fractional part of pos).
  4. If pos < 1 return the smallest element in the array.
  5. Else if pos >= n return the largest element in the array.
  6. Else let lower be the element in position floor(pos) in the array and let upper be the next element in the array. Return lower + d * (upper - lower)

To compute percentiles, the data must be at least partially ordered. Input arrays are copied and recursively partitioned using an ordering definition. The ordering used by Arrays.sort(double[]) is the one determined by Double.compareTo(Double). This ordering makes Double.NaN larger than any other value (including Double.POSITIVE_INFINITY). Therefore, for example, the median (50th percentile) of {0, 1, 2, 3, 4, Double.NaN} evaluates to 2.5.

Since percentile estimation usually involves interpolation between array elements, arrays containing NaN or infinite values will often result in NaN or infinite values returned.

Further, to include different estimation types such as R1, R2 as mentioned in Quantile page(wikipedia), a type specific NaN handling strategy is used to closely match with the typically observed results from popular tools like R(R1-R9), Excel(R7).

Percentile uses only selection instead of complete sorting and caches selection algorithm state between calls to the various evaluate methods. This greatly improves efficiency, both for a single percentile and multiple percentile computations. To maximize performance when multiple percentiles are computed based on the same data, users should set the data array once using either one of the evaluate(double[], double) or setData(double[]) methods and thereafter evaluate(double) with just the percentile provided.

Note that this implementation is not synchronized. If multiple threads access an instance of this class concurrently, and at least one of the threads invokes the increment() or clear() method, it must be synchronized externally.

See Also:

  • Constructor Details

  • Method Details

    • setData

      public void setData(double[] values)
      Set the data array.

      The stored value is a copy of the parameter array, not the array itself.

      Overrides:
      setData in class AbstractUnivariateStatistic
      Parameters:
      values - data array to store (may be null to remove stored data)
      See Also:

    • setData

      public void setData(double[] values, int begin, int length) throws MathIllegalArgumentException
      Set the data array. The input array is copied, not referenced.
      Overrides:
      setData in class AbstractUnivariateStatistic
      Parameters:
      values - data array to store
      begin - the index of the first element to include
      length - the number of elements to include
      Throws:
      MathIllegalArgumentException - if values is null or the indices are not valid
      See Also:

    • evaluate

      public double evaluate(double p) throws MathIllegalArgumentException
      Returns the result of evaluating the statistic over the stored data.

      The stored array is the one which was set by previous calls to setData(double[])

      Parameters:
      p - the percentile value to compute
      Returns:
      the value of the statistic applied to the stored data
      Throws:
      MathIllegalArgumentException - if p is not a valid quantile value (p must be greater than 0 and less than or equal to 100)

    • evaluate

      public double evaluate(double[] values, int start, int length) throws MathIllegalArgumentException
      Returns an estimate of the quantileth percentile of the designated values in the values array.

      The quantile estimated is determined by the quantile property.

      • Returns Double.NaN if length = 0
      • Returns (for any value of quantile) values[begin] if length = 1
      • Throws MathIllegalArgumentException if values is null, or start or length is invalid

      See Percentile for a description of the percentile estimation algorithm used.

      Specified by:
      evaluate in interface MathArrays.Function
      Specified by:
      evaluate in interface UnivariateStatistic
      Specified by:
      evaluate in class AbstractUnivariateStatistic
      Parameters:
      values - the input array
      start - index of the first array element to include
      length - the number of elements to include
      Returns:
      the percentile value
      Throws:
      MathIllegalArgumentException - if the parameters are not valid

    • evaluate

      public double evaluate(double[] values, double p) throws MathIllegalArgumentException
      Returns an estimate of the pth percentile of the values in the values array.
      • Returns Double.NaN if values has length 0
      • Returns (for any value of p) values[0] if values has length 1
      • Throws MathIllegalArgumentException if values is null or p is not a valid quantile value (p must be greater than 0 and less than or equal to 100)

      The default implementation delegates to evaluate(double[], int, int, double) in the natural way.

      Parameters:
      values - input array of values
      p - the percentile value to compute
      Returns:
      the percentile value or Double.NaN if the array is empty
      Throws:
      MathIllegalArgumentException - if values is null or p is invalid

    • evaluate

      public double evaluate(double[] values, int begin, int length, double p) throws MathIllegalArgumentException
      Returns an estimate of the pth percentile of the values in the values array, starting with the element in (0-based) position begin in the array and including length values.

      Calls to this method do not modify the internal quantile state of this statistic.

      • Returns Double.NaN if length = 0
      • Returns (for any value of p) values[begin] if length = 1
      • Throws MathIllegalArgumentException if values is null , begin or length is invalid, or p is not a valid quantile value (p must be greater than 0 and less than or equal to 100)

      See Percentile for a description of the percentile estimation algorithm used.

      Parameters:
      values - array of input values
      begin - the first (0-based) element to include in the computation
      length - the number of array elements to include
      p - the percentile to compute
      Returns:
      the percentile value
      Throws:
      MathIllegalArgumentException - if the parameters are not valid or the input array is null

    • getQuantile

      public double getQuantile()
      Returns the value of the quantile field (determines what percentile is computed when evaluate() is called with no quantile argument).
      Returns:
      quantile set while construction or setQuantile(double)

    • setQuantile

      public void setQuantile(double p) throws MathIllegalArgumentException
      Sets the value of the quantile field (determines what percentile is computed when evaluate() is called with no quantile argument).
      Parameters:
      p - a value between 0 < p <= 100
      Throws:
      MathIllegalArgumentException - if p is not greater than 0 and less than or equal to 100

    • copy

      public Percentile copy()
      Returns a copy of the statistic with the same internal state.
      Specified by:
      copy in interface UnivariateStatistic
      Specified by:
      copy in class AbstractUnivariateStatistic
      Returns:
      a copy of the statistic

    • getWorkArray

      protected double[] getWorkArray(double[] values, int begin, int length)
      Get the work array to operate. Makes use of prior storedData if it exists or else do a check on NaNs and copy a subset of the array defined by begin and length parameters. The set nanStrategy will be used to either retain/remove/replace any NaNs present before returning the resultant array.
      Parameters:
      values - the array of numbers
      begin - index to start reading the array
      length - the length of array to be read from the begin index
      Returns:
      work array sliced from values in the range [begin,begin+length)
      Throws:
      MathIllegalArgumentException - if values or indices are invalid

    • getEstimationType

      public Percentile.EstimationType getEstimationType()
      Get the estimation type used for computation.
      Returns:
      the estimationType set

    • withEstimationType

      public Percentile withEstimationType(Percentile.EstimationType newEstimationType)
      Build a new instance similar to the current one except for the estimation type.

      This method is intended to be used as part of a fluent-type builder pattern. Building finely tune instances should be done as follows: 

         Percentile customized = new Percentile(quantile).
                           withEstimationType(estimationType).
                           withNaNStrategy(nanStrategy).
                           withKthSelector(kthSelector);

      If any of the withXxx method is omitted, the default value for the corresponding customization parameter will be used.

      Parameters:
      newEstimationType - estimation type for the new instance
      Returns:
      a new instance, with changed estimation type
      Throws:
      NullArgumentException - when newEstimationType is null

    • getNaNStrategy

      public NaNStrategy getNaNStrategy()
      Get the NaN Handling strategy used for computation.
      Returns:
      NaN Handling strategy set during construction

    • withNaNStrategy

      public Percentile withNaNStrategy(NaNStrategy newNaNStrategy)
      Build a new instance similar to the current one except for the NaN handling strategy.

      This method is intended to be used as part of a fluent-type builder pattern. Building finely tune instances should be done as follows: 

         Percentile customized = new Percentile(quantile).
                           withEstimationType(estimationType).
                           withNaNStrategy(nanStrategy).
                           withKthSelector(kthSelector);

      If any of the withXxx method is omitted, the default value for the corresponding customization parameter will be used.

      Parameters:
      newNaNStrategy - NaN strategy for the new instance
      Returns:
      a new instance, with changed NaN handling strategy
      Throws:
      NullArgumentException - when newNaNStrategy is null

    • getKthSelector

      public KthSelector getKthSelector()
      Get the kthSelector used for computation.
      Returns:
      the kthSelector set

    • getPivotingStrategy

      public PivotingStrategy getPivotingStrategy()
      Get the PivotingStrategy used in KthSelector for computation.
      Returns:
      the pivoting strategy set

    • withKthSelector

      public Percentile withKthSelector(KthSelector newKthSelector)
      Build a new instance similar to the current one except for the kthSelector instance specifically set.

      This method is intended to be used as part of a fluent-type builder pattern. Building finely tune instances should be done as follows: 

         Percentile customized = new Percentile(quantile).
                           withEstimationType(estimationType).
                           withNaNStrategy(nanStrategy).
                           withKthSelector(newKthSelector);

      If any of the withXxx method is omitted, the default value for the corresponding customization parameter will be used.

      Parameters:
      newKthSelector - KthSelector for the new instance
      Returns:
      a new instance, with changed KthSelector
      Throws:
      NullArgumentException - when newKthSelector is null