How to Calculate Weighted Standard Deviation in R?

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The weighted standard deviation is a useful way to measure of values in a dataset when some values in the dataset have higher weights than others.

The formula to calculate a weighted standard deviation is:

where:

• N: The total number of
• M: The number of non-zero weights
• w_i: A vector of weights
• x_i: A vector of data values
• x: The weighted mean

The easiest way to calculate a weighted standard deviation in R is to use the wt.var() function from the Hmisc package, which uses the following syntax:

#define data values
x <- c(4, 7, 12, 13, ...)

#define weights
wt <- c(.5, 1, 2, 2, ...)

#calculate weighted variance
weighted_var <- wtd.var(x, wt)

#calculate weighted standard deviation
weighted_sd <- sqrt(weighted_var)

The following examples show how to use this function in practice.

Example 1: Weighted Standard Deviation for One Vector

The following code shows how to calculate the weighted standard deviation for a single vector in R:

library(Hmisc)

#define data values 
x <- c(14, 19, 22, 25, 29, 31, 31, 38, 40, 41)

#define weights
wt <- c(1, 1, 1.5, 2, 2, 1.5, 1, 2, 3, 2)

#calculate weighted variance 
weighted_var <- wtd.var(x, wt)

#calculate weighted standard deviation
sqrt(weighted_var)

[1] 8.570051

The weighted standard deviation turns out to be 8.57.

Example 2: Weighted Standard Deviation for One Column of Data Frame

The following code shows how to calculate the weighted standard deviation for one column of a data frame in R:

library(Hmisc)

#define data frame
df <- data.frame(team=c('A', 'A', 'A', 'A', 'A', 'B', 'B', 'C'),
                 wins=c(2, 9, 11, 12, 15, 17, 18, 19),
                 points=c(1, 2, 2, 2, 3, 3, 3, 3))

#define weights
wt <- c(1, 1, 1.5, 2, 2, 1.5, 1, 2)

#calculate weighted standard deviation of points
sqrt(wtd.var(df$points, wt))

[1] 0.6727938

The weighted standard deviation for the points column turns out to be 0.673.

Example 3: Weighted Standard Deviation for Multiple Columns of Data Frame

library(Hmisc)

#define data frame
df <- data.frame(team=c('A', 'A', 'A', 'A', 'A', 'B', 'B', 'C'),
                 wins=c(2, 9, 11, 12, 15, 17, 18, 19),
                 points=c(1, 2, 2, 2, 3, 3, 3, 3))

#define weights
wt <- c(1, 1, 1.5, 2, 2, 1.5, 1, 2)

#calculate weighted standard deviation of points and wins
sapply(df[c('wins', 'points')], function(x) sqrt(wtd.var(x, wt)))

     wins    points 
4.9535723 0.6727938 

The weighted standard deviation for the wins column is 4.954 and the weighted standard deviation for the points column is 0.673.