wtd.stats {Hmisc} | R Documentation

## Weighted Statistical Estimates

### Description

These functions compute various weighted versions of standard estimators. In most cases the `weights` vector is a vector the same length of `x`, containing frequency counts that in effect expand `x` by these counts. `weights` can also be sampling weights, in which setting `normwt` to `TRUE` will often be appropriate. This results in making `weights` sum to the length of the non-missing elements in `x`. `normwt=TRUE` thus reflects the fact that the true sample size is the length of the `x` vector and not the sum of the original values of `weights` (which would be appropriate had `normwt=FALSE`). When `weights` is all ones, the estimates are all identical to unweighted estimates (unless one of the non-default quantile estimation options is specified to `wtd.quantile`). When missing data have already been deleted for, `x`, `weights`, and (in the case of `wtd.loess.noiter`) `y`, specifying `na.rm=FALSE` will save computation time. Omitting the `weights` argument or specifying `NULL` or a zero-length vector will result in the usual unweighted estimates.

`wtd.mean`, `wtd.var`, and `wtd.quantile` compute weighted means, variances, and quantiles, respectively. `wtd.Ecdf` computes a weighted empirical distribution function. `wtd.table` computes a weighted frequency table (although only one stratification variable is supported at present). `wtd.rank` computes weighted ranks, using mid–ranks for ties. This can be used to obtain Wilcoxon tests and rank correlation coefficients. `wtd.loess.noiter` is a weighted version of `loess.smooth` when no iterations for outlier rejection are desired. This results in especially good smoothing when `y` is binary.

`num.denom.setup` is a utility function that allows one to deal with observations containing numbers of events and numbers of trials, by outputting two observations when the number of events and non-events (trials - events) exceed zero. A vector of subscripts is generated that will do the proper duplications of observations, and a new binary variable `y` is created along with usual cell frequencies (`weights`) for each of the `y=0`, `y=1` cells per observation.

### Usage

    wtd.mean(x, weights=NULL, normwt="ignored", na.rm=TRUE)
    wtd.var(x, weights=NULL, normwt=FALSE, na.rm=TRUE,
            method=c('unbiased', 'ML'))
    wtd.quantile(x, weights=NULL, probs=c(0, .25, .5, .75, 1),
                 type=c('quantile','(i-1)/(n-1)','i/(n+1)','i/n'),
                 normwt=FALSE, na.rm=TRUE)
    wtd.Ecdf(x, weights=NULL,
             type=c('i/n','(i-1)/(n-1)','i/(n+1)'),
             normwt=FALSE, na.rm=TRUE)
    wtd.table(x, weights=NULL, type=c('list','table'),
              normwt=FALSE, na.rm=TRUE)
    wtd.rank(x, weights=NULL, normwt=FALSE, na.rm=TRUE)
    wtd.loess.noiter(x, y, weights=rep(1,n),
                     span=2/3, degree=1, cell=.13333,
                     type=c('all','ordered all','evaluate'),
                     evaluation=100, na.rm=TRUE)
    num.denom.setup(num, denom)

### Arguments

`x` | a numeric vector (may be a character or `category` or `factor` vector for `wtd.table`)
`num` | vector of numerator frequencies
`denom` | vector of denominators (numbers of trials)
`weights` | a numeric vector of weights
`normwt` | specify `normwt=TRUE` to make `weights` sum to `length(x)` after deletion of `NA`s. If `weights` are frequency weights, then `normwt` should be `FALSE`, and if `weights` are normalization (aka reliability) weights, then `normwt` should be `TRUE`. In the case of the former, no check is made that `weights` are valid frequencies.
`na.rm` | set to `FALSE` to suppress checking for NAs
`method` | determines the estimator type; if `'unbiased'` (the default) then the usual unbiased estimate (using Bessel's correction) is returned, if `'ML'` then it is the maximum likelihood estimate for a Gaussian distribution. In the case of the latter, the `normwt` argument has no effect.
`probs` | a vector of quantiles to compute. Default is 0 (min), .25, .5, .75, 1 (max).

`type`

For `wtd.quantile`, `type` defaults to `quantile` to use the same interpolated order statistic method as `quantile`. Set `type` to `"(i-1)/(n-1)"`,`"i/(n+1)"`, or `"i/n"` to use the inverse of the empirical distribution function, using, respectively, (wt - 1)/T, wt/(T+1), or wt/T, where wt is the cumulative weight and T is the total weight (usually total sample size). These three values of `type` are the possibilities for `wtd.Ecdf`. For `wtd.table` the default `type` is `"list"`, meaning that the function is to return a list containing two vectors: `x` is the sorted unique values of `x` and `sum.of.weights` is the sum of weights for that `x`. This is the default so that you don't have to convert the `names` attribute of the result that can be obtained with `type="table"` to a numeric variable when `x` was originally numeric. `type="table"` for `wtd.table` results in an object that is the same structure as those returned from `table`. For `wtd.loess.noiter` the default `type` is `"all"`, indicating that the function is to return a list containing all the original values of `x` (including duplicates and without sorting) and the smoothed `y` values corresponding to them. Set `type="ordered all"` to sort by `x`, and `type="evaluate"` to evaluate the smooth only at `evaluation` equally spaced points between the observed limits of `x`.

`y` | a numeric vector the same length as `x`
`span, degree, cell, evaluation` | see `loess.smooth`. The default is linear (`degree`=1) and 100 points to evaluation (if `type="evaluate"`).

### Details

The functions correctly combine weights of observations having duplicate values of `x` before computing estimates.

When `normwt=FALSE` the weighted variance will not equal the unweighted variance even if the weights are identical. That is because of the subtraction of 1 from the sum of the weights in the denominator of the variance formula. If you want the weighted variance to equal the unweighted variance when weights do not vary, use `normwt=TRUE`. The articles by Gatz and Smith discuss alternative approaches, to arrive at estimators of the standard error of a weighted mean.

`wtd.rank` does not handle NAs as elegantly as `rank` if `weights` is specified.

### Value

`wtd.mean` and `wtd.var` return scalars. `wtd.quantile` returns a vector the same length as `probs`. `wtd.Ecdf` returns a list whose elements `x` and `Ecdf` correspond to unique sorted values of `x`. If the first CDF estimate is greater than zero, a point (min(x),0) is placed at the beginning of the estimates. See above for `wtd.table`. `wtd.rank` returns a vector the same length as `x` (after removal of NAs, depending on `na.rm`). See above for `wtd.loess.noiter`.

### Author(s)

Frank Harrell
Department of Biostatistics
Vanderbilt University School of Medicine
f.harrell@vanderbilt.edu
Benjamin Tyner
btyner@gmail.com

### References

Research Triangle Institute (1995): SUDAAN User's Manual, Release 6.40, pp. 8-16 to 8-17.

Gatz DF, Smith L (1995): The standard error of a weighted mean concentration–I. Bootstrapping vs other methods. Atmospheric Env 11:1185-1193.

Gatz DF, Smith L (1995): The standard error of a weighted mean concentration–II. Estimating confidence intervals. Atmospheric Env 29:1195-1200.

http://en.wikipedia.org/wiki/Weighted_arithmetic_mean

### See Also

`mean`, `var`, `quantile`, `table`, `rank`, `loess.smooth`, `lowess`, `plsmo`, `Ecdf`, `somers2`, `describe`

### Examples

    set.seed(1)
    x <- runif(500)
    wts <- sample(1:6, 500, TRUE)
    std.dev <- sqrt(wtd.var(x, wts))
    wtd.quantile(x, wts)
    death <- sample(0:1, 500, TRUE)
    plot(wtd.loess.noiter(x, death, wts, type='evaluate'))
    describe(~x, weights=wts)
    # describe uses wtd.mean, wtd.quantile, wtd.table
    xg <- cut2(x,g=4)
    table(xg)
    wtd.table(xg, wts, type='table')

    # Here is a method for getting stratified weighted means
    y <- runif(500)
    g <- function(y) wtd.mean(y[,1],y[,2])
    summarize(cbind(y, wts), llist(xg), g, stat.name='y')

    # Empirically determine how methods used by wtd.quantile match with
    # methods used by quantile, when all weights are unity
    set.seed(1)
    u <-  eval(formals(wtd.quantile)$type)
    v <- as.character(1:9)
    r <- matrix(0, nrow=length(u), ncol=9, dimnames=list(u,v))

    for(n in c(8, 13, 22, 29))
      {
        x <- rnorm(n)
        for(i in 1:5) {
          probs <- sort( runif(9))
          for(wtype in u) {
            wq <- wtd.quantile(x, type=wtype, weights=rep(1,length(x)), probs=probs)
            for(qtype in 1:9) {
              rq <- quantile(x, type=qtype, probs=probs)
              r[wtype, qtype] <- max(r[wtype,qtype], max(abs(wq-rq)))
            }
          }
        }
      }

    r

    # Restructure data to generate a dichotomous response variable
    # from records containing numbers of events and numbers of trials
    num   <- c(10,NA,20,0,15)   # data are 10/12 NA/999 20/20 0/25 15/35
    denom <- c(12,999,20,25,35)
    w     <- num.denom.setup(num, denom)
    w
    # attach(my.data.frame[w$subs,])

[Package Hmisc version 3.17-4 Index]