A running percentile is a statistical measure that calculates the percentile of a set of data at a specific point in time in a continuous stream of data. It is often used in time series analysis to understand the distribution of data points and identify trends or anomalies. The running percentile is updated each time a new data point is added to the series, providing a dynamic view of the data’s behavior over time.
The formula to calculate the running percentile (RP) is:
\[ RP = \left(\frac{(n + 1) \cdot P}{100}\right) \]
Where:
Let's say you have 50 observations and you want to find the 90th percentile. Using the formula:
\[ RP = \left(\frac{(50 + 1) \cdot 0.90}{100}\right) = 0.459 \]
So, the running percentile (RP) is approximately 0.459.