'Given a # of sigma, finding the correspondent percentage
If I want to find the value 3 sigma below the mean, BUT for a highly positive skewed distribution, is there a good way of doing this on python?
I was thinking of using just taking the corresponding %. (e.g. 3 sigma interval covers 99.7% interval). So to calculate the value where it is considered 3 sigma below the mean, I would take 3, convert it to percentile 99.85% via some function $func(3)$, and then apply scipy.stats.scoreatpercentile to find the value at that position.
Welcome any better ideas please! My main problem with scipy.stats.scoreatpercentile is that it doesn't actually give me a value that exists in my distribution which I need to be able to pull just the closest will do.
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