Probabilistic evaluation of quantile estimators

Matti Pajari, Maria Tikanmäki and Lasse Makkonen

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 14, 3319-3337

Abstract: The foundations of the criteria to assess the goodness of quantile estimators for continuous random variables are reviewed and the probabilistic justification for a novel bin-criterion is presented. It is shown that the bin-criterion is a more appropriate measure of goodness of a quantile estimator than those based on minimizing the bias of the quantiles or the parameters of the distribution.

Date: 2021
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DOI: 10.1080/03610926.2019.1696975

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