Improved confidence intervals for quantiles

Yoshihiko Maesono, Spiridon Penev

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)


    We derive the Edgeworth expansion for the studentized version of the kernel quantile estimator. Inverting the expansion allows us to get very accurate confidence intervals for the pth quantile under general conditions. The results are applicable in practice to improve inference for quantiles when sample sizes are moderate.

    Original languageEnglish
    Pages (from-to)167-189
    Number of pages23
    JournalAnnals of the Institute of Statistical Mathematics
    Issue number1
    Publication statusPublished - Feb 2013

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability


    Dive into the research topics of 'Improved confidence intervals for quantiles'. Together they form a unique fingerprint.

    Cite this