weighted_quantile: Weighted quantiles

In helske/diagis: Diagnostic Plot and Multivariate Summary Statistics of Weighted Samples from Importance Sampling

Weighted quantiles

Description

Computes a weighted quantiles of a vector or matrix. Based on the formula in Wikipedia (see the vignette) which is one of many ways to compute weighted quantiles.

Usage

weighted_quantile(x, w, probs = probs, na.rm)

Arguments

x	A numeric vector or matrix. For matrix, the quantiles are computed for each column.
w	A numeric vector of non-negative weights. Will be automatically normalised to sum to one.
probs	A numeric vector of probabilities with values between 0 and 1.
na.rm	If TRUE, NA and NaN values in x (and corresponding weights in w) are omitted from the computation. Default is FALSE. Additional missing values in w are not allowed.

Value

A weighted variance.

Note

Compared to some other R functions, here the weights are regarded as probability weights, not frequency weights.

helske/diagis documentation built on Sept. 9, 2023, 8:15 a.m.