On quantile estimation by bootstrap
Journal article, 2006

Exact bootstrap is used to optimize the weights of an L-estimator for quantiles with respect to the estimated MSE (mean square error). Performance of the new estimator is measured by comparing MSE with the sample quantile. The new estimator performs better than the sample quantiles in almost every case. However, the gain is only about 5%, in terms of decreased MSE.

L-estimator

Order statistics

Quantile estimation

Bootstrap

Author

Erik Brodin

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematical Statistics

Computational Statistics and Data Analysis

0167-9473 (ISSN)

Vol. 50 6 1398-1406

Subject Categories

Other Mathematics

DOI

10.1016/j.csda.2005.08.004

More information

Created

10/6/2017