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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