scripts/builtin/winsorize.dml

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m_winsorize = function(Matrix[Double] X, Double ql = 0.05, Double qu = 0.95, Boolean verbose) 
return (Matrix[Double] Y) {

  Y = matrix(0, nrow(X), ncol(X))
  parfor(i in 1:ncol(X), check=0) {
    q1 = quantile(X[,i], ql)
    q2 = quantile(X[,i], qu)
    Y[, i] = fixOutliersWinsorize(X[,i], q1, q2)
  }
}

fixOutliersWinsorize = function(Matrix[Double] X,  Double ql, Double qu) return (Matrix[Double] Y)
{
  # replace values outside [ql,qu] w/ ql and qu respectively
  Y = ifelse(X < ql, ql, X);
  Y = ifelse(Y > qu, qu, Y);
}