Percentiles of a Continuous Distribution

percentile (continuous distribution)

Let p be a number between 0 and 1. The (100p)-th percentile or p-th quantile of the distribution of a continuous rv X, denoted by ηp, is defined implicitly by the equation:

p=F(ηp)=ηpf(t)dt

Assuming we can find the inverse of F(x), this can also be written as:

ηp=F1(p)

In particular, the median of a continuous distribution is the 50th percentile η.5 or F1(.5). We'll sometimes just denote this as η.