scripts/builtin/winsorize.dml

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m_winsorize = function(Matrix[Double] X, Boolean verbose) return (Matrix[Double] Y) {
  Y = matrix(0, nrow(X), ncol(X))
  parfor(i in 1:ncol(X))
    Y[,i] = fixOutliersWinsorize(X[,i])
}

fixOutliersWinsorize = function(Matrix[Double] X) return (Matrix[Double] Y)
{
  # compute quantiles for lower and upper probs
  q = quantile(X, matrix("0.05 0.95", rows=2, cols=1));
  ql = as.scalar(q[1,1]);
  qu = as.scalar(q[2,1]);
  # replace values outside [ql,qu] w/ ql and qu respectively
  Y = ifelse(X < ql, ql, X);
  Y = ifelse(Y > qu, qu, Y);
}