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Quantitative Finance · Glossary

What is Winsorisation, trimmed mean?

Also known as: winsorisation · trimmed mean

Definition 15.4 Quantitative Methods · Chapter 15 — Robust Statistics and Heavy Tails

Winsorisation at level pp replaces the observations below the pp-quantile by that quantile and those above the (1−p)(1 - p)-quantile by that one. The pp-trimmed mean discards the ⌊pn⌋\lfloor pn\rfloor smallest and largest observations and averages the rest.

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