Discrete Quantile Estimation

24 Pages Posted: 3 Nov 2008

See all articles by Halina Frydman

Halina Frydman

New York University (NYU) - Department of Information, Operations, and Management Sciences

Gary Simon

New York University (NYU) - Department of Information, Operations, and Management Sciences

Date Written: January 2007

Abstract

We consider estimation of a quantile from a discrete distribution. This gives rise tothree new ideas, the confidence set for such a quantile, the notion that the associatedconfidence level can be increased after the data are collected, and that it is legitimateto strive to obtain a singleton confidence set. We develop properties of the samplequantile noting that the behavior for discrete populations is very different from the behavior for continuous populations. We illustrate the results with simulations andexamples.

Keywords: Quantile estimation, Discrete parameter, Discrete population, Expost confidence, Singleton confidence set

Suggested Citation

Frydman, Halina and Simon, Gary, Discrete Quantile Estimation (January 2007). Statistics Working Papers Series, Vol. , pp. -, 2007. Available at SSRN: https://ssrn.com/abstract=1293142

Halina Frydman (Contact Author)

New York University (NYU) - Department of Information, Operations, and Management Sciences ( email )

44 West Fourth Street
New York, NY 10012
United States
212-998-0453 (Phone)

Gary Simon

New York University (NYU) - Department of Information, Operations, and Management Sciences ( email )

44 West Fourth Street
New York, NY 10012
United States

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