Percentile, using Stata's algorithm (Hyndman & Fan "Type 2")

Stata's summarize, detail / _pctile / xtile all use a percentile algorithm confirmed equivalent to R's quantile(type = 2) (Hyndman & Fan 1996) — not R's default type = 7. Used here instead of bare stats::quantile() wherever the source computes r(p1)/r(p99) for winsorizing or trimming.

Usage

percentile_stata(x, probs)

Arguments

x

A numeric vector.

probs

A numeric vector of probabilities in [0, 1].

Value

A named numeric vector of the requested percentiles.