weighted_quantile {diagis}

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.