Improved confidence intervals for quantiles

Yoshihiko Maesono; Spiridon Penev

doi:10.1007/s10463-012-0369-6

Improved confidence intervals for quantiles

Yoshihiko Maesono, Spiridon Penev

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	167-189
Number of pages	23
Journal	Annals of the Institute of Statistical Mathematics
Volume	65
Issue number	1
DOIs	https://doi.org/10.1007/s10463-012-0369-6
Publication status	Published - Feb 2013

All Science Journal Classification (ASJC) codes

Statistics and Probability

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10.1007/s10463-012-0369-6

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Improved confidence intervals for quantiles

Abstract

All Science Journal Classification (ASJC) codes

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