I just recently came accross that there is different defition of quantile() in Julia and Matlab. I was unable to align the two definitions and always get different result.
Does anybody know why is this a case and how to align their definitions?
I tried the following:
A = [0.5377, 1.8339 , -2.2588 , 0.8622 , 0.3188, -1.3077, -0.4336];
Q = quantile(A,0.3);
which results in Q = -0.7832. When I write the same in Julia Statistics library:
A = [0.5377, 1.8339 , -2.2588 , 0.8622 , 0.3188, -1.3077, -0.4336];
Q1 = quantile(A,0.3);
Q2 = quantile(A,0.3,sorted=true);
which results in Q1=-0.60842 and Q2 = -1.44026. I also tried playing with alpha and beta parameters but it is super tedious and I have no way of knowing if my chosen paramerters hold on the whole range.
Set alpha=beta=0.5 as Matlab uses type 5 quantile definition.
Note though other software (like R or Python) use the same defaults as Julia (alpha=1 and beta=1).