article · Communication in Statistics- Theory and Methods · 2014

An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage

Cited by 11Abstract and details only

Abstract

In this article, we investigate the limitations of traditional quantile function estimators and introduce a new class of quantile function estimators, namely, the semi-parametric tail-extrapolated quantile estimators, which has excellent performance for estimating the extreme tails with finite sample sizes. The smoothed bootstrap and direct density estimation via the characteristic function methods are developed for the estimation of confidence intervals. Through a comprehensive simulation study to compare the confidence interval estimations of various quantile estimators, we discuss the preferred quantile estimator in conjunction with the confidence interval estimation method to use under different circumstances. Data examples are given to illustrate the superiority of the semi-parametric tail-extrapolated quantile estimators. The new class of quantile estimators is obtained by slight modification of traditional quantile estimators, and therefore, should be specifically appealing to researchers in estimating the extreme tails.

Cite this paper

APA 7

Wei, L., Wang, D., & Hutson, A. D. (2014). An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage. Communication in Statistics- Theory and Methods, 44(10), 2107–2135. https://doi.org/10.1080/03610926.2013.775304

MLA 9

Wei, Lai, et al. “An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage.” Communication in Statistics- Theory and Methods, vol. 44, no. 10, 2014, pp. 2107–35, https://doi.org/10.1080/03610926.2013.775304.

Chicago

Wei, Lai, Dongliang Wang, and Alan D. Hutson. 2014. “An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage.” Communication in Statistics- Theory and Methods 44 (10): 2107–35. https://doi.org/10.1080/03610926.2013.775304.

Harvard

Wei, L., Wang, D. and Hutson, A.D. (2014) ‘An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage’, Communication in Statistics- Theory and Methods, 44(10), pp. 2107–2135. Available at: https://doi.org/10.1080/03610926.2013.775304.

BibTeX

@article{wei2014investigation,
  title = {{An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage}},
  author = {Wei, Lai and Wang, Dongliang and Hutson, Alan D.},
  journal = {Communication in Statistics- Theory and Methods},
  volume = {44},
  number = {10},
  pages = {2107--2135},
  year = {2014},
  doi = {10.1080/03610926.2013.775304}
}

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