APProximate Behavior of the Distribution of Winsorizedt(Trimming/Winsorization 2)

A Monte Carlo study of the distribution of (symmetrically) Winsorized t shows that when the population is normally distributed Winsorized t behaves, to a satisfactory approximation, like a multiple of Student's t with the degrees of freedom that would be assigned intuitively. The approximate multiplier of t is (n – l)/(h – l), where h of the original n observations were not touched by the symmetrical Winsorzation, and the degrees of freedom are h – 1. This approximation is precise enough for most routine uses. More precise values are tabulated.