© 1982 by Biometrika Trust
A new distribution-free quantile estimator
Clinical Biostatistics, Duke University Medical Center Durham, North Carolina, U.S.A.
Department of Biostatistics, University of North Carolina Chapel Hill, North Carolina, U.S.A.
A new distribution-free estimator Qp of the pth population quantile is formulated, where Qp is a linear combination of order statistics admitting a jackknife variance estimator having excellent properties. The small sample efficiency of Qp is studied under a variety of light and heavy-tailed symmetric and asymmetric distributions. For the distributions and values of p studied, Qp is generally substantially more efficient than the traditional estimator based on one or two order statistics.
Key Words: Distribution-free estimator • Nonparametric estimator • Order statistic • Peroentile • Quantile
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