Might work better to determine top and bottom for each column with
quantile() using an appropriate quantile option, and then process
each variable "in place" with your ifelse logic.
I did find a somewhat different definition of winsorization with no
sorting in this code copied from a Patrick Burns posting from earlier
this year on R-SIG-Finance;
function(x, winsorize=5) {
s <- mad(x) * winsorize
top <- median(x) + s
bot <- median(x) - s
x[x > top] <- top
x[x < bot] <- bot x }
--
David Winsemius
On Jan 16, 2009, at 3:50 PM, Karl Healey wrote:
Hi All,
I want to take a matrix (or data frame) and winsorize each variable.
So I can, for example, correlate the winsorized variables.
The code below will winsorize a single vector, but when applied to
several vectors, each ends up sorted independently in ascending
order so that a given observation is no longer on the same row for
each vector.
So I need to winsorize the variable but then return it to its
original order. Or another solution that will take a data frame,
wisorize each variable, and return a new data frame with all the
variables in the original order.
Thanks for any help!
-Karl
#The function I'm working from
win<-function(x,tr=.2,na.rm=F){
if(na.rm)x<-x[!is.na(x)]
y<-sort(x)
n<-length(x)
ibot<-floor(tr*n)+1
itop<-length(x)-ibot+1
xbot<-y[ibot]
xtop<-y[itop]
y<-ifelse(y<=xbot,xbot,y)
y<-ifelse(y>=xtop,xtop,y)
win<-y
win
}
#Produces an example data frame, ss is the observation id, vars 1-5
are the variables I want to winzorise.
ss
=
c
(1
:
5
);var1
=
rnorm
(5
);var2
=
rnorm
(5
);var3
=rnorm(5);var4=rnorm(5);as.data.frame(cbind(ss,var1,var2,var3,var4))-
>data
data
#Winsorizes each variable, but sorts them independently so the
observations no longer line up.
sapply(data,win)
___________________________
M. Karl Healey
Ph.D. Student
Department of Psychology
University of Toronto
Sidney Smith Hall
100 St. George Street
Toronto, ON
M5S 3G3
k...@psych.utoronto.ca
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______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
