quantile

A quantile is a set of values which partitions a probability distribution into subsets of equal size.

Formally,
given a random variable X with cumulative distribution function F(x),
the kth q-quantile is the value x such that

F(x)=P(Xx)=kq

i.e. the distribution is divided into q subsets of equal size, and k[1,(q1)].

This definition can be expanded to the p-quantile xp with p[0,1]R such that p=kq.


There is only one 2-quantile, the median.

The difference between the upper and lower 4-quantiles (quartiles) is the interquartile range.

The 100-quantiles are called percentiles.


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