Robust statistics | Estimator

Trimmed estimator

In statistics, a trimmed estimator is an estimator derived from another estimator by excluding some of the extreme values, a process called truncation. This is generally done to obtain a more robust statistic, and the extreme values are considered outliers. Trimmed estimators also often have higher efficiency for mixture distributions and heavy-tailed distributions than the corresponding untrimmed estimator, at the cost of lower efficiency for other distributions, such as the normal distribution. Given an estimator, the x% trimmed version is obtained by discarding the x% lowest or highest observations or on both end: it is a statistic on the middle of the data. For instance, the 5% trimmed mean is obtained by taking the mean of the 5% to 95% range. In some cases a trimmed estimator discards a fixed number of points (such as maximum and minimum) instead of a percentage. (Wikipedia).

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Related pages

Interdecile range | Skewness | Interquartile mean | Percentile | Statistics | Population variance | Mid-range | Location parameter | Estimator | Efficiency (statistics) | Median absolute deviation | Outlier | Midhinge | Heavy-tailed distribution | Mixture distribution | Interquartile range | Median | Modified mean | L-estimator | Range (statistics) | Error function | Scale parameter | Robust measures of scale | Nonparametric skew | Normal distribution | Standard deviation | Scale factor | Cauchy distribution | Expected value | Consistent estimator | Truncation (statistics)