On some robust estimation procedures for quantiles based on data

Yoeng-Kuan Chang and Deng-Yuan Huang

Journal of Applied Statistics, 2005, vol. 32, issue 9, 909-927

Abstract: This paper introduces some robust estimation procedures to estimate quantiles of a continuous random variable based on data, without any other assumptions of probability distribution. We construct a reasonable linear regression model to connect the relationship between a suitable symmetric data transformation and the approximate standard normal statistics. Statistical properties of this linear regression model and its applications are studied, including estimators of quantiles, quartile mean, quartile deviation, correlation coefficient of quantiles and standard errors of these estimators. We give some empirical examples to illustrate the statistical properties and apply our estimators to grouping data.

Keywords: Quantile estimation; symmetric data transformations; quartile mean; quartile deviation; correlation coefficient of quantiles grouping data (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1080/02664760500163532

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