Quantile estimators based on k order statistics, Part 8: Winsorized Harrell-Davis quantile estimator

In the previous post, we have discussed the trimmed modification of the Harrell-Davis quantile estimator based on the highest density interval of size \(\sqrt{n}/n\). This quantile estimator showed a decent level of statistical efficiency. However, the research wouldn’t be complete without comparison with the winsorized modification. Let’s fix it!...

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