COVERAGE PROBABILITIES OF BOOTSTRAP-CONFIDENCE INTERVALS FOR QUANTILES

被引：19

作者：

FALK, M ^{[1
]}

KAUFMANN, E ^{[1
]}

机构：

[1] UNIV GH SIEGEN,FACHBEREICH MATH,W-5900 SIEGEN 21,GERMANY

来源：

ANNALS OF STATISTICS | 1991年 / 19卷 / 01期

关键词：

BOOTSTRAP ESTIMATE; SAMPLE Q-QUANTILE; CONFIDENCE INTERVAL;

D O I：

10.1214/aos/1176347995

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：

An asymptotic expansion of length 2 is established for the coverage probabilities of confidence intervals for the underlying q-quantile which are derived by bootstrapping the sample q-quantile. The corresponding level error turns out to be of order O(n-1/2) which is unexpectedly low. A confidence interval of even more practical use is derived by using backward critical points. The resulting confidence interval is of the same length as the one derived by ordinary bootstrap but it is distribution free and has higher coverage probability.

引用

页码：485 / 495

页数：11

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