WINSORIZED VARIANCE
Name:
WINSORIZED VARIANCE (LET)
Type:
Purpose:
Compute the Winsorized variance of a variable.
Description:
The standard variance estimate can be heavily influenced by extreme
values. The Winsorized variance compensates for this by setting the
tail values equal to a certain percentile value. For example, for a
90% Winsorized variance, the bottom 5% of the values are set equal to
the value corresponding to the 5th percentile while the upper 5% of
the values are set equal to the value corresponding to the 95th
percentile. Then the standard variance formula (HELP VARIANCE
for details) is applied.
Syntax:
LET <par> = WINSORIZED VARIANCE <y1>
<SUBSET/EXCEPT/FOR qualification>
where <y1> is the response variable;
<par> is a parameter where the computed Winsorized
variance is stored;
and where the <SUBSET/EXCEPT/FOR qualification> is optional.
Examples:
LET A = WINSORIZED VARIANCE Y1
LET A = WINSORIZED VARIANCE Y1 SUBSET TAG > 2
Note:
The analyst must specify the percentages to Winsorize in each tail.
This is done by defining the internal variables P1 (the lower
tail) and P2 (the upper tail). For example, to Winsorize 10% of
each tail, do the following:
LET P1 = 10
LET P2 = 10
LET A = WINSORIZED VARIANCE Y
Note:
Support for the Winsorized variance has been added to the
following plots and commands:
WINSORIZED VARIANCE PLOT
BOOTSTRAP WINSORIZED VARIANCE PLOT
JACKNIFE WINSORIZED VARIANCE PLOT
CROSS TABULATE WINSORIZED VARIANCE PLOT
DEX WINSORIZED VARIANCE PLOT
WINSORIZED VARIANCE INTERACTION STATISTIC PLOT
WINSORIZED VARIANCE INFLUENCE CURVE
TABULATE WINSORIZED VARIANCE
CROSS TABULATE WINSORIZED VARIANCE
LET ... = CROSS TABULATE WINSORIZED VARIANCE
Default:
Synonyms:
Related Commands:
WINSORIZE

= Winsorize a variable.

WINSORIZED STANDARD DEVIATION

= Compute a Winsorized standard deviation.

WINSORIZED MEAN

= Compute a Winsorized mean.

WINSORIZED COVARIANCE

= Compute a Winsorized covariance.

WINSORIZED CORRELATION

= Compute a Winsorized correlation.

VARIANCE

= Compute the variance.

BIWEIGHT MIDVARIANCE

= Compute the biweight midvariance.

Applications:
Implementation Date:
Program 1:
LET Y1 = CAUCHY RANDOM NUMBERS FOR I = 1 1 100
LET A1 = VARIANCE Y1
LET P1 = 10
LET P2 = 10
LET A2 = WINSORIZED VARIANCE Y1
Program 2:
SKIP 25
READ SPLETT2.DAT Y MACHINE
XTIC OFFSET 0.5 0.5
LABEL CASE ASIS
X1LABEL Machine Manfufacturer
Y1LABEL Absorbed Energy (10% Winsorized Variance)
LET P1 = 10
LET P2 = 10
WINSORIZED VARIANCE PLOT Y MACHINE
Date created: 8/6/2002
Last updated: 4/4/2003
Please email comments on this WWW page to
alan.heckert@nist.gov.