Improved confidence intervals for quantiles

Yoshihiko Maesono () and Spiridon Penev ()

Annals of the Institute of Statistical Mathematics, 2013, vol. 65, issue 1, 167-189

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. Copyright The Institute of Statistical Mathematics, Tokyo 2013

Keywords: Edgeworth expansion; Quantile; Kernel quantile estimator; Confidence interval (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10463-012-0369-6

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