weighted_quantile function

Weighted Quantile

Weighted population quantile.

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

Arguments

• x: [numeric vector] data.
• w: [numeric vector] weights (same length as x).
• probs: [numeric vector] vector of probabilities with values in [0,1].
• na.rm: [logical] indicating whether NA values should be removed before the computation proceeds (default: FALSE).

Details

• Overview.: weighted_quantile computes the weighted sample quantiles; argument probs allows vector inputs.
• Implementation.: The function is based on a weighted version of the quickselect/Find algorithm with the Bentley and McIlroy (1993) 3-way partitioning scheme. For very small arrays, we use insertion sort.
• Compatibility.: For equal weighting, i.e., when all elements in w are equal, weighted_quantile is identical with type = 2 of stats::quantile; see also Hyndman and Fan (1996).

Returns

Weighted estimate of the population quantiles

References

Bentley, J. L. and McIlroy, D. M. (1993). Engineering a Sort Function, Software - Practice and Experience 23 , 1249--1265. tools:::Rd_expr_doi("10.1002/spe.4380231105")

Hyndman, R.J. and Fan, Y. (1996). Sample Quantiles in Statistical Packages, The American Statistician 50 , 361--365. tools:::Rd_expr_doi("10.1080/00031305.1996.10473566")

See Also

Overview (of all implemented functions)

weighted_median

Examples

head(workplace)

# Weighted 25% quantile (1st quartile)
weighted_quantile(workplace$employment, workplace$weight, 0.25)