Xtile

The function xtile tries to emulate stata xtile function.

There is a BinScatter.jl package which already implements these features.

Basic usage

Start with a simple distribution to visualize the effect of winsorizing

Random.seed!(3); x = randn(10_000);
p1 = histogram(x,
    bins=-4:0.1:4, alpha=0.25, color="grey", label="",
    framestyle=:box, size=(1250,750))

The quintiles split the distribution:

x_tile = hcat(x, xtile(x, 5))
p2 = histogram(x, bins=-4:0.1:4, alpha=0.25, color="grey",
    label="", framestyle=:box);
[ histogram!(x_tile[ x_tile[:, 2] .== i , 1], bins=-4:0.1:4,
             alpha=0.75, label="quantile bin $i")
  for i in 0:4 ];

It is possible to include weights

x_sorted = sort(x)
x_tile_weights = xtile(x_sorted, 5,
                       weights=Weights([ log(i)/i for i in 1:length(x)]) )
p3 = histogram(x, bins=-4:0.1:4, alpha=0.25, color="grey",
    label="", framestyle=:box);
[ histogram!(x_sorted[x_tile_weights.==i], bins=-4:0.1:4,
             alpha=0.75, label="quantile bin $i")
  for i in 0:4 ];