Skip Navigation

Biometrika 2005 92(1):234-241; doi:10.1093/biomet/92.1.234
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Ho, Y. H. S.
Right arrow Articles by Lee, S. M. S.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© 2005 Biometrika Trust

Miscellanea

Calibrated interpolated confidence intervals for population quantiles

Yvonne H. S. Ho and Stephen M. S. Lee

Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong hohs{at}graduate.hku.hk, smslee{at}hkusua.hku.hk

Beran & Hall's (1993) simple linear interpolation provides a very convenient approach for constructing nonparametric confidence intervals for population quantiles based on a random sample of size n. We show that the coverage error of the interpolated interval, which is of order O(n–1), can be improved upon by calibrating the nominal coverage level. Three distinct methods of calibration are considered. The analytical and Monte Carlo methods succeed in reducing the order of coverage error to O(n–3/2), while the smoothed bootstrap method reduces it further to O(n–25/14).We provide guidelines for practical implementation of the calibration methods. Their performance is compared with the simple linear interpolated interval in a simulation study which confirms superiority of the calibrated intervals.

Key Words: Bandwidth; Calibration; Interpolation; Quantile; Smoothed bootstrap

Received March 2004. Revised July 2004.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.