On quantile estimation by bootstrap
Artikel i vetenskaplig tidskrift, 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

Författare

Erik Brodin

Göteborgs universitet

Chalmers, Matematiska vetenskaper, matematisk statistik

Computational Statistics and Data Analysis

0167-9473 (ISSN)

Vol. 50 1398-1406

Ämneskategorier

Annan matematik

DOI

10.1016/j.csda.2005.08.004