Robust bi-weight quantile

A quantile estimator that uses robust estimators of location and spread, which resist the effects of extreme observations.

The robust bi-weight estimator (Horn & Pesce 1998) uses robust estimators of location and spread, which resist the effects of extreme observations. It requires a symmetric distribution. If the distribution is skewed, you should apply a transform to achieve symmetry, or create a new sample by mirroring the sample around the median to form a symmetric distribution (Horn, 1990), before applying the bi-weight estimator.