[R] weighted quantiles

[sj]

I have a set of values and their corresponding weights. I can use the
function weighted.mean to calculate the weighted mean, I would like to be
able to similarly calculate the weighted median and quantiles? Is there a
function in R that can do this?

thanks,

Spencer

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[Frank E Harrell Jr]

sj wrote:
> I have a set of values and their corresponding weights. I can use the
> function weighted.mean to calculate the weighted mean, I would like to be
> able to similarly calculate the weighted median and quantiles? Is there a
> function in R that can do this?
>
> thanks,
>
>
> Spencer

library(Hmisc)
?wtd.quantile

[Brian S Cade]

Try the linear quantile regression function rq() in the quantreg package.
For 1 sample estimates, your model would have just an intercept term.
There is a weight argument.

quantiles.out <- rq(y ~ 1, data=mydata, tau=1:9/10, weight=myweights)

would yield the 0.10, 0.20, ..., 0.80, 0.90 weighted quantile estimates.

Brian

Brian S. Cade, PhD

U. S. Geological Survey
Fort Collins Science Center
2150 Centre Ave., Bldg. C
Fort Collins, CO 80526-8818

email: brian...@usgs.gov
tel: 970 226-9326

sj <ssj...@gmail.com>
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10/07/2008 12:38 PM

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Subject
[R] weighted quantiles

[Norbert NEUWIRTH]

Dear Frank,

Thank you for your usefull package Hmisc! I use it in my microsimulation project every day. But now a problem arose ...

....Having updated to R 2.8.0 (under windows XP) your library "Hmisc" isn't installed any more. Trying to reinstal I recognized, that it isn't even in the package list. When trying to reinstal it via local zip-sources I get the error-message (wrong R version ... ).

Will the Hmisc-package be updated or are their functions now embedded within another package??

Thanks,

Norbert

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Mag. Norbert Neuwirth

Österreichisches Institut für Familienforschung (ÖIF) - Universität Wien
Austrian Institute for Family Studies - University of Vienna

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