Random weighting estimation of confidence intervals for quantiles

被引：8

作者：

Gao, Shesheng ^{[1
]}

Zhong, Yongmin ^{[2
]}

Gu, Chengfan ^{[3
]}

机构：

[1] Northwestern Polytech Univ, Sch Automat, Xian 710072, Shaanxi, Peoples R China

[2] RMIT Univ, Sch Aerosp Mech & Mfg Engn, Bundoora, Vic 3083, Australia

[3] Univ New S Wales, Sch Mat Sci & Engn, Sydney, NSW 2052, Australia

来源：

AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS | 2013年 / 55卷 / 01期

关键词：

confidence interval; q-quantile; random weighting estimation; EMPIRICAL LIKELIHOOD; BOOTSTRAP METHODS; REGRESSION; APPROXIMATION;

D O I：

10.1111/anzs.12018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper presents a new random weighting method for confidence interval estimation for the sample q-quantile. A theory is established to extend ordinary random weighting estimation from a non-smoothed function to a smoothed function, such as a kernel function. Based on this theory, a confidence interval is derived using the concept of backward critical points. The resultant confidence interval has the same length as that derived by ordinary random weighting estimation, but is distribution-free, and thus it is much more suitable for practical applications. Simulation results demonstrate that the proposed random weighting method has higher accuracy than the Bootstrap method for confidence interval estimation.

引用

页码：43 / 53

页数：11

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