Interval estimators for ratios of independent quantiles and interquantile ranges

Abstract

Recent research has shown that interval estimators with good coverage properties are achievable for some functions of quantiles, even when sample sizes are not large. Motivated by this, we consider interval estimators for the ratios of independent quantiles and interquantile ranges that will be useful when comparing location and scale for two samples. Simulations show that the intervals have excellent coverage properties for a wide range of distributions, including those that are heavily skewed. Examples are also considered that highlight the usefulness of using these approaches to compare location and scale.

Keywords:

• Asymptotic variance
• Coverage probability
• Partial influence functions