[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...