QUANTILE ESTIMATORS Weighted Harrell-Davis Quantile Estimator with Absolute Deviation Fences. DISCLAIMER: The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets. The following...
Hampel Filter script. This indicator was originally developed by Frank Rudolf Hampel (Journal of the American Statistical Association, 69, 382–393, 1974: The influence curve and its role in robust estimation). The Hampel filter is a simple but effective filter to find outliers and to remove them from data. It performs better than a median filter.