Estimating percentage points by simulation

Abstract

The mean squared errors are compared for two methods of estimating percentage points. One method uses a single order statistic from a single large sample. The other method averages the appropriate order statistics from each of several smaller samples. Four examples are given with finite sample sizes. Asymptotic results are presented for large sample sizes.

Keywords:

• Quantile estimation
• order statistics
• multisample estimates
• asymptotic expansion

^*This research was supported by a grant from the Research Foundation of the State University of New York.

^*This research was supported by a grant from the Research Foundation of the State University of New York.

Notes

^*This research was supported by a grant from the Research Foundation of the State University of New York.