Quantile interval estimation

Abstract

As an alternative to the conventional sample quantile, Kaigh and Lachenbruch (1982) propose a certain U-statistic as a non-parametric estimator of a continuous population quantile. Other related quantile estimators are introduced and studied here. The jackknife procedure is applied to obtain sample variance estimates for the construction of symmetric asymptotic confidence intervals for population quantiles and Monte Carlo studies are employed to investigate validity for small samples.

Keywords:

• order statistics
• L estimator
• jackknife
• U-statistics
• V-statistics
• mean square error
• robust