Weighted quantiles

The default method (type=2) corresponds to weighted percentiles in SAS.

Usage

quantile_weighted(
  x,
  probs = (0:4)/4,
  weights = rep(1, length(x)),
  type = 2,
  eps = 1e-09
)

Arguments

x

Numeric vector

probs

Numeric vector of probabilities

weights

Numeric vector of weights of the same length as x

type

An integer, 2 (default) or 5. Similar to types 2 and 5 in quantile.

eps

Precision parameter used when type=2 so that numerical inaccuracy is accepted (see details)

Value

Quantiles as a named numeric vector.

Details

When type=2, averaging is used in case of equal of probabilities. Equal probabilities (p[j]==probs[i]) is determined by abs(1-p[j]/probs[i])<eps with p=cumsum(w)/sum(w) where w=weights[order(x)].

With zero length of x, NAs are returned.

When all weights are zero and when when all x's are not equal, NaNs are returned except for the 0% and 100% quantiles.

Note

Type 2 similar to type 5 in DescTools::Quantile

Examples

x <- rnorm(27)/5 + 1:27
w <- (1:27)/27

quantile_weighted(x, (0:5)/5, weights = w)
#>        0%       20%       40%       60%       80%      100% 
#>  1.198987 11.932099 17.139868 20.893309 24.929626 26.667965 
quantile_weighted(x, (0:5)/5, weights = w, type = 5)
#>        0%       20%       40%       60%       80%      100% 
#>  1.198987 12.241779 17.385632 21.183700 24.492988 26.667965 

quantile_weighted(x) - quantile(x, type = 2)
#>   0%  25%  50%  75% 100% 
#>    0    0    0    0    0 
quantile_weighted(x, type = 5) - quantile(x, type = 5)
#>   0%  25%  50%  75% 100% 
#>    0    0    0    0    0