3 ms·

it makes sense and it is better estimator of the expected value than the sample mean in some cases: https://projecteuclid.org/journals/annals-of-statistics/vol

it makes sense and it is better estimator of the expected value than the sample mean in some cases: https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-1/Robust-multivariate-mean-estimation-The-optimality-of-trimmed-mean/10.1214/20-AOS1961.short https://projecteuclid.org/journals/annals-of-statistics/volu...

stdbrouw 3y ago
The tradeoff is that while there are many estimators of the expected value that are more efficient (have less variance) than the sample mean for various distributions, they typically introduce bias.
smcin 3y ago
Is "some cases" closer to 1% or 50+%? That paper is behind a paywall. How does it do on normal and other common distributions?
- amitport 3y ago
  https://arxiv.org/abs/1907.11391 https://arxiv.org/abs/1907.11391 it's pretty much the same thing
- _0ffh 3y ago
  It seems obvious that for symmetrical distributions, like the normal, winsorizing does not change the mean.
  - amitport 3y ago
    but it can converge faster to the mean with the sample size...
  - smcin 3y ago
    Was looking for an answer for other common distributions, or a one-line summary of the paper.