[R] Winsorized mean and variance

William Revelle lists at revelle.net
Thu Aug 27 18:53:24 CEST 2009

   Try winsor in the psych package.


At 10:21 AM -0400 8/27/09, Roberto Perdisci wrote:
>This is of great help, thanks!
>On Thu, Aug 27, 2009 at 7:20 AM, Jim Lemon<jim at 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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William Revelle		http://personality-project.org/revelle.html
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