/src/Numerics/Statistics/Percentile.cs
http://mathnetnumerics.codeplex.com · C# · 210 lines · 100 code · 22 blank · 88 comment · 12 complexity · 5ac09c524e40c8143d9923d07df6d94a MD5 · raw file
- // <copyright file="Percentile.cs" company="Math.NET">
- // Math.NET Numerics, part of the Math.NET Project
- // http://numerics.mathdotnet.com
- // http://github.com/mathnet/mathnet-numerics
- // http://mathnetnumerics.codeplex.com
- // Copyright (c) 2009-2010 Math.NET
- // Permission is hereby granted, free of charge, to any person
- // obtaining a copy of this software and associated documentation
- // files (the "Software"), to deal in the Software without
- // restriction, including without limitation the rights to use,
- // copy, modify, merge, publish, distribute, sublicense, and/or sell
- // copies of the Software, and to permit persons to whom the
- // Software is furnished to do so, subject to the following
- // conditions:
- // The above copyright notice and this permission notice shall be
- // included in all copies or substantial portions of the Software.
- // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
- // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
- // OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
- // NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
- // HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
- // WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
- // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
- // OTHER DEALINGS IN THE SOFTWARE.
- // </copyright>
- namespace MathNet.Numerics.Statistics
- {
- using System;
- using System.Collections.Generic;
- using System.Linq;
- /// <summary>
- /// Methods to calculate the percentiles.
- /// </summary>
- public enum PercentileMethod
- {
- /// <summary>
- /// Using the method recommened my NIST,
- /// http://www.itl.nist.gov/div898/handbook/prc/section2/prc252.htm
- /// </summary>
- Nist = 0,
- /// <summary>
- /// Using the nearest rank, http://en.wikipedia.org/wiki/Percentile#Nearest_Rank
- /// </summary>
- Nearest,
- /// <summary>
- /// Using the same method as Excel does,
- /// http://www.itl.nist.gov/div898/handbook/prc/section2/prc252.htm
- /// </summary>
- Excel,
- /// <summary>
- /// Use linear interpolation between the two nearest ranks,
- /// http://en.wikipedia.org/wiki/Percentile#Linear_Interpolation_Between_Closest_Ranks
- /// </summary>
- Interpolation
- }
- /// <summary>
- /// Class to calculate percentiles.
- /// </summary>
- public class Percentile
- {
- /// <summary>
- /// Holds the data.
- /// </summary>
- private readonly List<double> _data;
- /// <summary>
- /// Gets or sets the method used to calculate the percentiles.
- /// </summary>
- /// <value>The calculation method.</value>
- /// <remarks>defaults to <see cref="PercentileMethod.Nist"/>.</remarks>
- public PercentileMethod Method
- {
- get;
- set;
- }
- /// <summary>
- /// Initializes a new instance of the <see cref="Percentile"/> class.
- /// </summary>
- /// <param name="data">The data to calculate the percentiles of.</param>
- public Percentile(IEnumerable<double> data)
- {
- if (data == null)
- {
- throw new ArgumentNullException("data");
- }
-
- if (data.Count() < 3)
- {
- throw new ArgumentException(string.Format(Properties.Resources.MustContainAtLeast, 3), "data");
- }
- _data = new List<double>(data);
- _data.Sort();
- }
- /// <summary>
- /// Computes the percentile.
- /// </summary>
- /// <param name="percentile">The percentile, must be between 0.0 and 1.0 (inclusive).</param>
- /// <returns>the requested percentile.</returns>
- public double Compute(double percentile)
- {
- if (percentile < 0 || percentile > 100)
- {
- throw new ArgumentException("Percentile value must be between 0 and 100.");
- }
- if (percentile == 0.0)
- {
- return _data[0];
- }
- if (percentile == 1.0)
- {
- return _data[_data.Count - 1];
- }
- var result = double.NaN;
- switch (Method)
- {
- case PercentileMethod.Nist:
- result = Nist(percentile);
- break;
- case PercentileMethod.Nearest:
- result = Nearest(percentile);
- break;
- case PercentileMethod.Interpolation:
- result = Interpolation(percentile);
- break;
- case PercentileMethod.Excel:
- result = Excel(percentile);
- break;
- }
- return result;
- }
- /// <summary>
- /// Computes the percentiles for the given list.
- /// </summary>
- /// <param name="percentiles">The percentiles, must be between 0.0 and 1.0 (inclusive)</param>
- /// <returns>the values that correspond to the given percentiles.</returns>
- public IList<double> Compute(IEnumerable<double> percentiles)
- {
- if (percentiles == null)
- {
- throw new ArgumentNullException("percentiles");
- }
- return percentiles.Select(Compute).ToList();
- }
- /// <summary>
- /// Computes the percentile using the nearest value.
- /// </summary>
- /// <param name="percentile">The percentile.</param>
- /// <returns>the percentile using the nearest value.</returns>
- private double Nearest(double percentile)
- {
- var n = (int)Math.Round((_data.Count * percentile) + 0.5, 0);
- return _data[n - 1];
- }
- /// <summary>
- /// Computes the percentile using Excel's method.
- /// </summary>
- /// <param name="percentile">The percentile.</param>
- /// <returns>the percentile using Excel's method.</returns>
- private double Excel(double percentile)
- {
- var tmp = 1 + (percentile * (_data.Count - 1.0));
- var k = (int)tmp;
- var d = tmp - k;
- return _data[k - 1] + (d * (_data[k] - _data[k - 1]));
- }
- /// <summary>
- /// Computes the percentile using interpolation.
- /// </summary>
- /// <param name="percentile">The percentile.</param>
- /// <returns>the percentile using the interpolation.</returns>
- private double Interpolation(double percentile)
- {
- var k = (int)(_data.Count * percentile);
- var pk = (k - 0.5) / _data.Count;
- return _data[k - 1] + (_data.Count * (percentile - pk) * (_data[k] - _data[k - 1]));
- }
- /// <summary>
- /// Computes the percentile using NIST's method.
- /// </summary>
- /// <param name="percentile">The percentile.</param>
- /// <returns>the percentile using NIST's method.</returns>
- private double Nist(double percentile)
- {
- var tmp = percentile * (_data.Count + 1.0);
- var k = (int)tmp;
- var d = tmp - k;
- return _data[k - 1] + (d * (_data[k] - _data[k - 1]));
- }
- }
- }