Winsorising
01-04-2016, 08:24 PM
Post: #1
 salvomic Senior Member Posts: 1,396 Joined: Jan 2015
Winsorising
hi,
a program to make the winsorising of a data set for statistical purpose.
See here in Wikipedia: «Winsorising or Winsorisation is the transformation of statistics by limiting extreme values in the statistical data to reduce the effect of possibly spurious outliers. It is named after the engineer-turned-biostatistician Charles P. Winsor (1895–1951)...»
Values must be already in Statistic 1var (D1 matrix). The program put the resulting items in D2.

Enjoy!

Salvo Micciché

Code:
 EXPORT winsorising(p) // Data in Statistic 1var; p -> i.e. 90 = 90%, from 5th to 95th percentile) BEGIN LOCAL q1, q2, j; q1 := quantile(D1, (100-p)/100); q2 := quantile(D1, p/100); D2 := D1; FOR j FROM 1 TO size(D1) DO     IF D1(j) < q1 THEN D2(j):= q1; END;     IF D1(j) > q2 THEN D2(j):= q2; END; END; RETURN D2; END;

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