Sequential elimination: Fast sorts for unbiased quantile estimation

Alessandro Palandri

Finance Research Letters, 2020, vol. 33, issue C

Abstract: Sequential Elimination (S.E.) is a simple approach, based on standard algorithms, to the sorting of large dimensional arrays for the estimation of quantiles of unknown distributions. Sorting on sub-arrays and eliminating elements outside properly constructed intervals, S.E. is faster than available alternatives and produces unbiased, consistent and efficient estimates. S.E. is used to tabulate critical values for ADF and conditional EG from 1010 simulations for the testing of unit-roots and no-cointegration, respectively. The new critical values are applied to the testing of the presence of rational bubbles in the U.S. stock market.

Keywords: Quantile estimation; Simulated critical values; Sorting algorithms; Unbiased estimator; Efficient estimator (search for similar items in EconPapers)
JEL-codes: C01 C60 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318303702

DOI: 10.1016/j.frl.2019.05.007

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