6.10.5.2.1.1.6. statsmodels.sandbox.tools.try_mctools.StatTestMC.quantiles

StatTestMC.quantiles(idx=None, frac=[0.01, 0.025, 0.05, 0.1, 0.975])

calculate quantiles of Monte Carlo results

similar to ppf

Parameters:

idx : None or list of integers

List of indices into the Monte Carlo results (columns) that should be used in the calculation

frac : array_like, float

Defines which quantiles should be calculated. For example a frac of 0.1 finds the 10% quantile, x such that cdf(x)=0.1

Returns:

frac : ndarray

same values as input, TODO: I should drop this again ?

quantiles : ndarray, (len(frac), len(idx))

the quantiles with frac in rows and idx variables in columns

Notes

rename to ppf ? make frac required change sequence idx, frac