[R] Percentiles/Quantiles with Weighting

[roger koenker]

url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820



On Feb 17, 2009, at 1:58 PM, Brigid Mooney wrote:

> Thanks for pointing me to the quantreg package as a resource.  I was  
> hoping to ask be able to address one quick follow-up question...
>
> I get slightly different variants between using the rq funciton with  
> formula = mydata ~ 1 as I would if I ran the same data using the  
> quantile function.
> Example:
>
> mydata <- (1:10)^2/2
> pctile <- seq(.59, .99, .1)
>
> quantile(mydata, pctile)
> 59%    69%    79%    89%    99%
> 20.015 26.075 32.935 40.595 49.145
>
> rq(mydata~1, tau=pctile)
> Call:
> rq(formula = mydata ~ 1, tau = pctile)
> Coefficients:
>             tau= 0.59 tau= 0.69 tau= 0.79 tau= 0.89 tau= 0.99
> (Intercept)        18      24.5        32      40.5        50
> Degrees of freedom: 10 total; 9 residual
>
> Is it correct to assume this is due to the different accepted  
> methods of calculating quantiles?  If so, do you know where I would  
> be able to see the algorithms used in these functions?  I'm not  
> finding it in the documentation for function rq, and am new enough  
> to R that I don't know where those references would generally be.
>

Yes,  quantile() in base R documents 9 varieties of quantiles, 2 more  
than
William Empson's famous 7 Types of Ambiguity.  In quantreg the function
rq() finds a solution to an underlying optimization problem and  
doesn't ask
any further into the nature of the ambiguity -- it does often produce a
warning indicating that there may be more than one solution.  The  
default
base R quantile is interpolated, while the default rq() with method =  
"br"
using the simplex algorithm finds an order statistic, typically.  If  
you prefer
something more like interpolation, you can try rq() with method = "fn"
which is using an interior point algorithm and when there are multiple
solutions it tends to produce something more like the centroid of the
solution set.  I hope that this helps.
>
>
>
> On Tue, Feb 17, 2009 at 12:29 PM, roger koenker <rkoenker at uiuc.edu>  
> wrote:
> http://www.nabble.com/weighted-quantiles-to19864562.html#a19865869
>
> gives one possibility...
>
> url:    www.econ.uiuc.edu/~roger            Roger Koenker
> email    rkoenker at uiuc.edu            Department of Economics
> vox:     217-333-4558                University of Illinois
> fax:       217-244-6678                Champaign, IL 61820
>
>
>
>
> On Feb 17, 2009, at 10:57 AM, Brigid Mooney wrote:
>
> Hi All,
>
> I am looking at applications of percentiles to time sequenced data.   
> I had
> just been using the quantile function to get percentiles over various
> periods, but am more interested in if there is an accepted (and/or
> R-implemented) method to apply weighting to the data so as to weigh  
> recent
> data more heavily.
>
> I wrote the following function, but it seems quite inefficient, and  
> not
> really very flexible in its applications - so if anyone has any  
> suggestions
> on how to look at quantiles/percentiles within R while also using a
> weighting schema, I would be very interested.
>
> Note - this function supposes the data in X is time-sequenced, with  
> the most
> recent (and thus heaviest weighted) data at the end of the vector
>
> WtPercentile <- function(X=rnorm(100), pctile=seq(.1,1,.1))
> {
>  Xprime <- NA
>
>  for(i in 1:length(X))
>  {
>   Xprime <- c(Xprime, rep(X[i], times=i))
>  }
>
>  print("Percentiles:")
>  print(quantile(X, pctile))
>  print("Weighted:")
>  print(Xprime)
>  print("Weighted Percentiles:")
>  print(quantile(Xprime, pctile, na.rm=TRUE))
> }
>
> WtPercentile(1:10)
> WtPercentile(rnorm(10))
>
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>
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