[amitport]

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/volu...

[stdbrouw]

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]

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]

https://arxiv.org/abs/1907.11391 it's pretty much the same thing

[_0ffh]

It seems obvious that for symmetrical distributions, like the normal, winsorizing does not change the mean.

[smcin]

Was looking for an answer for other common distributions, or a one-line summary of the paper.

[amitport]

but it can converge faster to the mean with the sample size...