Improved confidence intervals for quantiles

被引：0

作者：

Yoshihiko Maesono

Spiridon Penev

机构：

[1] Kyushu University,Faculty of Mathematics

[2] The University of New South Wales,School of Mathematics and Statistics

来源：

Annals of the Institute of Statistical Mathematics | 2013年 / 65卷

关键词：

Edgeworth expansion; Quantile; Kernel quantile estimator; Confidence interval;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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.

引用

页码：167 / 189

页数：22

共 30 条

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