Convert array into percentiles

问题:

I have an array that I want to convert to percentiles. For example, say I have a normally distributed array:

import numpy as np
import matplotlib.pyplot as plt

arr = np.random.normal(0, 1, 1000)
plt.hist(arr)

For each value in that array, I want to calculate the percentile of that value (e.g. 0 is the 50th percentile of the above distribution so 0 -> 0.5). The result should be uniformly distributed since each percentile should have equal weight.

I found np.percentile but this function returns a value given an array and quantile and what I need is to return a quantile given an array and value.

Is there a relatively efficient way to do this?

回答1:

from scipy.stats import percentileofscore

# generate example data
arr = np.random.normal(0, 1, 10)

# pre-sort array
arr_sorted =  sorted(arr)

# calculate percentiles using scipy func percentileofscore on each array element
s = pd.Series(arr)
percentiles = s.apply(lambda x: percentileofscore(arr_sorted, x))

checking that the results are correct:

df = pd.DataFrame({'data': s, 'percentiles': percentiles})    
df.sort_values(by='data')

       data   pcts
3 -1.692881   10.0
8 -1.395427   20.0
7 -1.162031   30.0
6 -0.568550   40.0
9  0.047298   50.0
5  0.296661   60.0
0  0.534816   70.0
4  0.542267   80.0
1  0.584766   90.0
2  1.185000  100.0

回答2:

Here's an alternative approach. I think you're asking about estimating the Probability Integral Transformation. This code produces a fairly fine-grained estimate, namely inverted_edf.

It proceeds by calculating linear interpolations between points in SAMPLE at distinct values. Then it calculates the sample empirical df, and finally inverted_edf.

I should mention that, even with a sample size of 1,000 the percentiles at the tails are subject to considerable statistical variability although that for 0.5 would be less so.

import statsmodels.distributions.empirical_distribution as edf
from scipy.interpolate import interp1d
import numpy as np
import matplotlib.pyplot as plt

SAMPLE = np.random.normal(0, 1, 1000)
sample_edf = edf.ECDF(SAMPLE)

slope_changes = sorted(set(SAMPLE))

sample_edf_values_at_slope_changes = [ sample_edf(item) for item in slope_changes]
inverted_edf = interp1d(sample_edf_values_at_slope_changes, slope_changes)

x = np.linspace(0.005, 1)
y = inverted_edf(x)
#~ plt.plot(x, y, 'ro', x, y, 'b-')
plt.plot(x, y, 'b-')
plt.show()

p = 0.5
print ('%s percentile:' % (100*p), inverted_edf(p))

Here's the graph and the textual output for two runs.

50.0 percentile: -0.05917394517540461
50.0 percentile: -0.0034011090849578695

回答3:

Here is a simple piece of code to calculate percentile ranking for each element in a list. I define percentile of a given element as the percentage of elements in the list that are less than or equal to the given element.

    import numpy as np
    x = [2,3,2,110,200,55,-1,0,6,45]
    ptile = [ (len(list(np.where(np.array(x)<=i)[0]))/len(x))*100  for i in x]
    print (ptile)

    O/P
    [40.0, 50.0, 40.0, 90.0, 100.0, 80.0, 10.0, 20.0, 60.0, 70.0]