Convert array into percentiles


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)

enter image description here

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.

enter image description here

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?

Asked By: Chris



from scipy.stats import percentileofscore
import pandas as pd

# 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})    

       data   percentiles
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
Answered By: Max Power

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-')

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

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

PIT graph

50.0 percentile: -0.05917394517540461
50.0 percentile: -0.0034011090849578695
Answered By: Bill Bell

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)

    [40.0, 50.0, 40.0, 90.0, 100.0, 80.0, 10.0, 20.0, 60.0, 70.0]
Answered By: Sammy

Many ways to accomplish this, depending on the libraries you want to use and the type of data that you have.

import numpy as np
# Input data
arr  = np.random.normal(0, 1, 10)

Using scipy.stats.percentileofscore on a numpy array:

from scipy import stats
np.vectorize(lambda x: stats.percentileofscore(arr, x))(arr)

Using scipy.stats.rankdata on a numpy array or a list:

from scipy import stats
stats.rankdata(arr, "average") / len(arr)

Using pandas.DataFrame.rank on a Pandas DataFrame:

import numpy as np
df = pd.DataFrame(arr)
Answered By: Marcos

For a given array, you can get the percentile of each value in that array efficiently with nested argsort.

my_array = np.random.randn(1000)
my_percentiles = (np.argsort(np.argsort(my_array))+1)/my_array.size
Answered By: Bruce Stoutenburg
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