An optimal L-statistics quantile estimator for a set of location–scale populations

Ling-Wei Li, Loo-Hay Lee, Chun-Hung Chen, Bo Guo and Ya-Jie Liu

Statistics & Probability Letters, 2012, vol. 82, issue 10, 1853-1858

Abstract: This paper presents an L-statistics quantile estimator for estimating the pth quantile of a population which belongs to a set of location–scale distributions. The design of the weight vector of the estimator is formulated as a constrained optimization problem. The objective of the optimization problem is to minimize the mean square error. The optimization problem is subject to a unitary constraint on the weight vector of the L-statistics quantile estimation. We solve the optimization problem and obtain an optimal solution, which is the weight vector of the proposed estimator.

Keywords: Quantile estimator; L-statistics; Location equivariance; Location–scale distributions (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.05.015

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