I understand percentile in the context of test scores with many examples (eg. you SAT score falls in the 99th percentile), but I am not sure I understand percentile in the following context and what is going on. Imagine a model outputs probabilities (on some days we have a lot of new data and outputted probabilities, and some days we don't). Imagine I want to compute the 99th percentile of outputted probabilities. Here are the probabilities for today:

a = np.array([0,0.2,0.4,0.7,1])
p = np.percentile(a,99)


I don't understand how the 99th percentile is computed in this situation where there are only 5 outputted probabilities. How was the output computed? Thanks!


The correct result would be the number at position $5$: $a_5 =1$.

A $p$-th percentile $P_p$ is characterized by the following two properties:

  • At most $p\%$ of the data is less than $P_p$
  • At most $(100-p)\%$ of the data is greater than $P_p$

Let $n$ be the number of data items. There are two cases:

  • If $n\cdot\frac{p}{100}$ is not an integer, then $P_p$ is uniquely determined. Then, the value of the data item at position $\left\lceil n\cdot\frac{p}{100} \right\rceil$ (rounding up) is the $p$-th percentile. In your case $$5\cdot\frac{99}{100}=4.95 \stackrel{}{\longrightarrow}\lceil n\cdot\frac{p}{100}\rceil = 5$$
  • If $n\cdot\frac{p}{100}$ is an integer, then any value starting from the data item at position $n\cdot\frac{p}{100}$ till the item at position $n\cdot\frac{p}{100}+1$ satisfies the above given characterizations. This is the only case, where interpolation might be applied.

Summary: The percentile function in "numpy" (np) is mathematically not correct.



Look at the documentation of your percentile function, and notice that it is using linear interpolation in places where the data was not available.

Indeed, if $(0.7,0.8)$ and $(1,1)$ are interpolated with a line, what will you get at $0.99$?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.