Statistical Efficiency of the Trimmed and Winsorized Mean

In this short case study, we explore a few more plots with Gaussian efficiency plots for the trimmed and winsorized mean estimators against the sample median.

Let us evaluate the sampling distribution from the standard normal distribution $\mathcal{N}(0, 1)$, the standard uniform distribution $\mathcal{U}(0, 1)$, and the standard exponential distribution $\operatorname{Exp}(1)$ for $n \in \{ 10, 30, 90 \}$: