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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26295
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| Title: | Discrete Quantile Estimation |
| Authors: | Frydman, Halina
Simon, Gary |
| Keywords: | Quantile estimation
Discrete parameter
Discrete population
Expost confidence
Singleton confidence set |
| Issue Date: | 29-Jan-2007 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-2007-2 |
| Abstract: | We consider estimation of a quantile from a discrete distribution. This
gives rise to three new ideas, the confidence set for such a quantile,
the notion that the associated confidence level can be increased after
the data are collected, and that it is legitimate to strive to obtain a
singleton confidence set. We develop properties of the sample quantile
noting that the behavior for discrete populations is very different from
the behavior for continuous populations. We illustrate the results with
simulations and examples. |
| URI: | http://hdl.handle.net/2451/26295 |
| Appears in Collections: | IOMS: Statistics Working Papers
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