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weighted median

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Function for calculating the weighted median

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 For n numbers x_1,...,x_n with positive weights w_1,...,w_n,
 (sum of all weights equal to one) the weighted median is defined as
 the element x_k, such that:
           --
           ) w_i <= 1/2
           --
      x_i < x_k
and
           --
          ) w_i <= 1/2
          --
     x_i > x_k

 Input: D ... matrix of observed values
                W ... matrix of weights, W = ( w_ij )
 Output: wMed ... weighted median

Comments and Ratings (7)

Theo

Theo (view profile)

Worked like a charm !!!

Song Ming

very useful. And Bart's comments are great too.

petrichor

Qiao Liyong

Useful routine. It can be optimized, though, by using sumVec=cumsum(wSort) -- it gave me a speed-up of more than 300 in a particular case for which I had about 50000 elements.

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