[R] Winsorizing Multiple Variables

[David Winsemius]

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
>
> karl at psych.utoronto.ca
>
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