Improved confidence intervals for quantiles

We derive the Edgeworth expansion for the studentized version of the kernel quantile estimator. Inverting the expansion allows us to get very accurate confidence intervals for the pth quantile under general conditions. The results are applicable in practice to improve inference for quantiles when sample sizes are moderate. Copyright The Institute of Statistical Mathematics, Tokyo 2013

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Year of publication:	2013
Authors:	Maesono, Yoshihiko ; Penev, Spiridon
Published in:	Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 65.2013, 1, p. 167-189
Publisher:	Springer
Subject:	Edgeworth expansion \| Quantile \| Kernel quantile estimator \| Confidence interval

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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