Winsorising

Winsorising is the transformation of outliers in statistical data. A typical strategy is to set all outliers to a specified percentile of the data; for example, a 90% Winsorisation would see all data below the 5th percentile set to the 5th percentile, and data above the 95th percentile set to the 95th percentile. Winsorised estimators are usually more robust to outliers than their unwinsorised counterparts.

The procedure is named for the engineer-turned-biostatistician Charles P. Winsor (1895-1951).