Advances and Applications in Statistics
Volume 9, Issue 2, Pages 177 - 203
(August 2008)
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DISCRETE QUANTILE ESTIMATION
Halina Frydman (U. S. A.) and Gary Simon (U. S. A.)
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Abstract: We consider estimation of a quantile based on random sample from a discrete distribution. We derive small and large sample properties ofthe sample quantile, and consider two different types of confidence sets for a population quantile. Either type of a confidence set has the feature that its nominal level is conservative; we propose to enlarge the confidence in this set by examining the data. We also propose aheuristic procedure for obtaining a singleton confidence set. The obtained results are quite different from the well-known results on the estimation of a quantile from a continuous distribution. |
Keywords and phrases: quantile estimation, discrete population, confidence set, ex-post confidence, singleton confidence set. |
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