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Improved confidence intervals for quantiles

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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.

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Authors and Affiliations

  1. Faculty of Mathematics, Kyushu University, 744, Motooka, Nishi-ku, Fukuoka, 819-0395, Japan

    Yoshihiko Maesono

  2. School of Mathematics and Statistics, The University of New South Wales, Sydney, NSW, 2052, Australia

    Spiridon Penev

Authors
  1. Yoshihiko Maesono
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  2. Spiridon Penev
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Correspondence to Yoshihiko Maesono.

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Maesono, Y., Penev, S. Improved confidence intervals for quantiles. Ann Inst Stat Math 65, 167–189 (2013). https://doi.org/10.1007/s10463-012-0369-6

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  • DOI: https://doi.org/10.1007/s10463-012-0369-6

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