[R-SIG-Finance] Winsorization

Brian G. Peterson brian at braverock.com
Thu Sep 18 12:36:10 CEST 2008

On Thu, 2008-09-18 at 11:29 +0800, 刘志刚 wrote:
>        I am dealing with a data set with many outliers value. And it is said
> that a technique named winsorization or winsorising can
> reduce the influence of those extreme values. Did anyone use this skill
> before? And how to do it in S+ or R? Thank you.

We used this technique in an upcoming (Winter 2008) paper for the
Journal of Risk.  The robust data cleaning methods we propose will be in
that paper, and the code will be in the version of PerformanceAnalytics
that we are preparing for release right now.  

If you want the functions right now, please let me know, and I'll send
you the .R files you need prior to the release of the package.


  - Brian

Ph: 773-459-4973 
IM: bgpbraverock

More information about the R-SIG-Finance mailing list