You may also want to look at this:
http://www.nabble.com/Winsorization-td19545316.html

On Wed, Sep 16, 2009 at 12:24 PM, Geoffrey Smith <gps@asu.edu> wrote:

> Hello, is there any kind of function that can winsorize a vector of numeric
> data?  I realize that the function mean(x, trim=...) will calculate
> winsorized means, but I would like to winsorize the actual data.  That is,
> I
> would like to actually change the extreme values to the 95% and 5%
> percentile values.  Thank you.
>
> --
> Geoffrey Smith
> Visiting Assistant Professor
> Department of Finance
> W. P. Carey School of Business
> Arizona State University
>
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