Avoiding over-trimming with the trimmed Harrell-Davis quantile estimator

Previously, I already discussed the trimmed modification of the Harrell-Davis quantile estimator several times. I performed several numerical simulations that compare the statistical efficiency of this estimator with the efficiency of the classic Harrell-Davis quantile estimator (HDQE) and its winsorized modification; I showed how we can improve the efficiency using custom trimming strategies and how to choose a good trimming threshold value. In the heavy-tailed cases, the trimmed HDQE provides ...

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