add quantile

[tpetricek]

This looks great to me! 👍

[zyzhu]

@alexpantyukhin It looks great. Three comments.

1. Make the function inline to support integer and decimal values. The following lines would do.

   static member inline quantile (quantiles:float[], series:Series<'K, 'V>) =
   let vals = series.Values |> Seq.sort |> Seq.toArray
   let valsLength = vals |> Array.length
   
   quantiles
   |> Array.map(fun q ->
     let floatIndex = q * float(valsLength - 1)
     if floatIndex % 1.0 = 0.0 then
       string q, float vals.[int(floatIndex)]
     else
       let index = int(floatIndex)
       let l = float vals.[index]
       let r = float vals.[index + 1]
   
       string q, l + (r - l) * (floatIndex % 1.0)
   )
   |> Series.ofObservations

2. Math.Net supports 9 different ways of quantile calculation from R project. https://numerics.mathdotnet.com/descriptivestatistics.html The one you implemented is essentially R7, the Excel version. You can be explicit in the comments of the function saying it's the Excel version of quantile, equivalent to QuantileDefinition.R7 from Math.Net.

In addition, you could add another unit test in the end of stats.fs to use FsCheck and Math.Net quantilecustom function to confirm your number has the same output as Math.Net.

3. We could add wrapper in the future Deedle.Math to support all other quantilecustom functions from Math.Net. You implementation here is good enough for quick descriptive study.

Thanks a lot.

[alexpantyukhin]

Thank you @zyzhu for your notes! About the first point: do you mean the decimal and integer for series values? Actually I forgot to make a check there that all values in quantiles:float[] should be <= 1.0 .

[zyzhu]

@alexpantyukhin Yes. I meant series could have integer or decimal values. Quantile on that series should still work and output float value. Just like all the other inline stats functions we refactored recently.

You are right about the second point. The parameter values should be checked between 0.0 and 1.0

[zyzhu]

I saw the test didn't pass Math.Net test. Maybe it's worth checking the nuance of Math.Net implementation https://github.com/mathnet/mathnet-numerics/blob/8ba423a8a6f011bb079f736497526ad44c88aad3/src/Numerics/Statistics/SortedArrayStatistics.Single.cs#L299

[alexpantyukhin]

Yes, I saw it. Interesting that it didn't pass only for .netcore. I will check that.

[zyzhu]

Looks great. Maybe it's time to add quantile info to describe function. Thanks!

[alexpantyukhin]

Still need to check tests :) It passed well even in previos time.

[zyzhu]

Travis has passed test. It looks like the status here is stuck. I'll merge it.

[alexpantyukhin]

Cool, thanks! I guess it’s time to add it into describe method. I would like to make describe method according the pandas way. For different types different collection of keys.

[alexpantyukhin]

I will do it.