Roberto,
Try winsor in the psych package.
Bill
At 10:21 AM -0400 8/27/09, Roberto Perdisci wrote:
This is of great help, thanks!
Roberto
On Thu, Aug 27, 2009 at 7:20 AM, Jim Lemon<j...@bitwrit.com.au> wrote:
Roberto Perdisci wrote:
Hello everybody,
after searching around for quite some time, I haven't been able to
find a package that provides a function to compute the Windorized mean
and variance. Also I haven't found a function that computes the
trimmed variance. Is there any such package around?
Hi Roberto,
The Winsorized variance is similar to the trimmed variance, except that the
extreme values are substituted rather than dropped. Define the quantiles
within which you want to retain the original values and then substitute the
values at the quantiles for all values more extreme in the respective sign
direction. Like this:
testdat<-rnorm(20)
winsorVar<-function(x,probs=c(0.05,0.95)) {
xq<-quantile(x,probs=probs)
x[x < xq[1]]<-xq[1]
x[x > xq[2]]<-xq[2]
return(var(x))
}
Jim
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