scripts/builtin/winsorize.dml

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# The winsorize-function removes outliers from the data. It does so by computing upper and
# lower quartile range of the given data then it replaces any value that falls outside this range
# (less than lower quartile range or more than upper quartile range).
#
# INPUT:
# -----------------------------------------------------------------------------------------
# X            Input feature matrix
# verbose      To print output on screen
# -----------------------------------------------------------------------------------------
#
# OUTPUT:
# -----------------------------------------------------------------------------------
# Y      Matrix without outlier values
# -----------------------------------------------------------------------------------

m_winsorize = function(Matrix[Double] X, Double ql = 0.05, Double qu = 0.95, Boolean verbose) 
return (Matrix[Double] Y, Matrix[Double] qLower, Matrix[Double] qUpper) {
  qLower = matrix(0, rows=1, cols=ncol(X))
  qUpper = matrix(0, rows=1, cols=ncol(X))
  Xtemp = replace(target=X, pattern=NaN, replacement=0)
  parfor(i in 1:ncol(X), check=0) {
    qLower[1,i] = quantile(Xtemp[,i], ql)
    qUpper[1,i] = quantile(Xtemp[,i], qu)
  }
  Y = winsorizeApply(X, qLower, qUpper)
}