A new distribution-free quantile estimator
FE Harrell, CE Davis - Biometrika, 1982 - academic.oup.com
FE Harrell, CE Davis
Biometrika, 1982•academic.oup.comA new distribution-free estimator Q p of the p th population quantile is formulated, where Q p
is a linear combination of order statistics admitting a jackknife variance estimator having
excellent properties. The small sample efficiency of Q p is studied under a variety of light and
heavy-tailed symmetric and asymmetric distributions. For the distributions and values of p
studied, Q p is generally substantially more efficient than the traditional estimator based on
one or two order statistics.
is a linear combination of order statistics admitting a jackknife variance estimator having
excellent properties. The small sample efficiency of Q p is studied under a variety of light and
heavy-tailed symmetric and asymmetric distributions. For the distributions and values of p
studied, Q p is generally substantially more efficient than the traditional estimator based on
one or two order statistics.
Abstract
A new distribution-free estimator Qp of the pth population quantile is formulated, where Qp is a linear combination of order statistics admitting a jackknife variance estimator having excellent properties. The small sample efficiency of Qp is studied under a variety of light and heavy-tailed symmetric and asymmetric distributions. For the distributions and values of p studied, Qp is generally substantially more efficient than the traditional estimator based on one or two order statistics.
Oxford University Press