| int __stdcall NDK_QUANTILE | ( | double * | X, |
| size_t | N, | ||
| double | p, | ||
| double * | retVal | ||
| ) |
Returns the sample p-quantile of the non-missing observations (i.e. divides the sample data into equal parts determined by the percentage p).
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Parameters
-
[in] X is the input data sample (a one dimensional array). [in] N is the number of observations in X. [in] p is a scalar value between 0 and 1 (exclusive). [out] retVal is the calculated p-th quantile value.
- Remarks
- 1. The time series may include missing values (NaN), but they will not be included in the calculations.
- 2. The quantile function for any distribution is defined between 0 and 1. Its function is the inverse of the cumulative distribution function (CDF).
- 3. The quantile function returns the sample median when \(p=0.5\).
- 4. The quantile function returns the sample minimum when \(p=0\).
- 5. The quantile function returns the sample maximum when \(p=1\).
- 6. For any probability distribution, the following holds true for the probability \(p\):
- \(P(X< q)\geq p\), where:
- \(q\) is the sample \(p\)-quantile.
- \(P(X< q)\geq p\), where:
- Requirements
-
Header SFSDK.H Library SFSDK.LIB DLL SFSDK.DLL
- Examples
-
| Namespace: | NumXLAPI |
| Class: | SFSDK |
| Scope: | Public |
| Lifetime: | Static |
| int NDK_QUANTILE | ( | double[] | pData, |
| UIntPtr | nSize, | ||
| double | argPct, | ||
| ref double | retVal | ||
| ) |
Returns the sample p-quantile of the non-missing observations (i.e. divides the sample data into equal parts determined by the percentage p).
- Return Value
-
a value from NDK_RETCODE enumeration for the status of the call.
NDK_SUCCESS operation successful Error Error Code
- Parameters
-
[in] pData is the input data sample (a one dimensional array). [in] nSize is the number of observations in pData. [in] argPct is a scalar value between 0 and 1 (exclusive). [out] retVal is the calculated p-th quantile value.
- Remarks
- 1. The time series may include missing values (NaN), but they will not be included in the calculations.
- 2. The quantile function for any distribution is defined between 0 and 1. Its function is the inverse of the cumulative distribution function (CDF).
- 3. The quantile function returns the sample median when \(p=0.5\).
- 4. The quantile function returns the sample minimum when \(p=0\).
- 5. The quantile function returns the sample maximum when \(p=1\).
- 6. For any probability distribution, the following holds true for the probability \(p\):
- \(P(X< q)\geq p\), where:
- \(q\) is the sample \(p\)-quantile.
- \(P(X< q)\geq p\), where:
- Exceptions
-
Exception Type Condition None N/A
- Requirements
-
Namespace NumXLAPI Class SFSDK Scope Public Lifetime Static Package NumXLAPI.DLL
- Examples
-
- References
- * Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- * Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
- * D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
- * Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848
